Banking Crises: Identification & Dating
|Thesis title in Czech:||Bankonvní krize: Identifikace a datování|
|Thesis title in English:||Banking Crises: Identification & Dating|
|English key words:||Banking sector crisis, event-method, index-method|
|Academic year of topic announcement:||2011/2012|
|Type of assignment:||diploma thesis|
|Department:||Institute of Economic Studies (23-IES)|
|Supervisor:||Mgr. Svatopluk Svoboda|
|Author:||hidden - assigned by the advisor|
|Date of registration:||12.10.2011|
|Date of assignment:||12.10.2011|
|Date and time of defence:||13.09.2012 00:00|
|Venue of defence:||IES|
|Date of electronic submission:||09.01.2012|
|Date of proceeded defence:||13.09.2012|
|Reviewers:||doc. PhDr. Zuzana Havránková, Ph.D.|
C. M. Reinhart and K. Rogoff: "This time is different: Eight Centuries of Financial Folly." Princeton University Press, 2009.
Patrick Honohan & Luc Laeven: “Systemic Financial Crises: Containment and Resolution”, Cambridge University Press, 2005
Demirgüç-Kunt, Aslí & Enrica Detragiache: “The Determinants of Banking Crises: Evidence from Developing and Developed Countries”, IMF Staff Papers, Vol. 45, 1998, pp. 81 – 109.
L. Laeven and F. Valencia: "Systemic Banking Crises: A New Database." International Monetary Fund, Working Paper no. 224, 2008.
Aykut Kibritcioglu: "Monitoring banking sector fragility."; Arab Bank Review, Volume 5, 2003
Singh: "Ordered Probit model of Early Warning System for Predicting Financial Crisis in India" (unpublished) available at: http://www.bis.org/ifc/events/5ifcconf/singh.pdf
Svatopluk Svoboda: “Financial Stability and Fragile Banking Systems.” Charles University, diploma thesis, 2010
Jurgen von Hagen & Tai-Kuang Ho: “Money Market Pressure and the Determinants of Banking Crises.” Journal of Money, Credit and Banking, pp. 1037-1067. 2007
Jurgen von Hagen & Tai-Kuang Ho: “Money Market Pressure and the Determinants of Banking Crises.” Centre for Economic Policy Research, Discussion Paper No. 4651, October 2004.
|Preliminary scope of work in English|
|The purpose of this diploma thesis is to analyze the relationship between evolution of macroeconomic variables in an economy and health of its banking sector. Although financial markets have been experiencing rapid growth in importance and complexity during last two decades, banking sectors' soundness still persists as the most important component of financial stability of modern economies. That`s why banking sector stability has been traditionally in the centre of theoretical and empirical research.
There exists various approaches toward identification of banking sector fragility. Leading among them are Event-based method and Index-based method. In the theoretical part of diploma thesis I will map the current state of research in both of these streams.
Afterwards, practical part of the diploma thesis will be dedicated do Index-based method. I will try to construct Stability Index of Banking Sector for Czech Republic and other countries, based on existing indexes that observe exposure of banks to main types of risk.
In the last, empirical part of the thesis I will examine correlation between evolution of banking sector fragility (as suggested by constructed Index) and macoreoconimic variales in a country.
In the master thesis I would like to reach these two main aspirations:
• To construct Index of banking sector fragility, based on the theory of accumlation of risk-taking, based on existing recommendations in scholar literature.
• To empirically test whether evolution of chosen economic variables (e.g. stock price index, import, forex, inflation) is correlated with evolution of banking sector stability as given by the constructed Index./