Bank regulation,property prices and early warning systems for banking crises in OECD countries |
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Authors: | Ray Barrell E Philip Davis Dilruba Karim Iana Liadze |
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Institution: | 1. NIESR, 2 Dean Trench Street, Smith Square, London SW1P 3HE, United Kingdom;2. Brunel University, Uxbridge, Middlesex UB8 3PH, United Kingdom |
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Abstract: | Early warning systems (EWS) for banking crises generally omit bank capital, bank liquidity and property prices. Most work on EWS has been for global samples dominated by emerging market crises where time series data on bank capital adequacy and property prices are typically absent. We estimate logit crisis models for OECD countries, finding strong effects from capital adequacy and liquidity ratios as well as property prices, and can exclude traditional variables. Higher capital adequacy and liquidity ratios have a marked effect on the crisis probabilities, implying long-run benefits to offset some of the costs that such regulations may impose. |
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Keywords: | C52 E58 G21 |
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