Central Bank Independence,Political Regimes,and the Sacrifice Ratio: A Replication Study of Caporale and Caporale (2008)

A recent article by Caporale and Caporale (2008, this Journal) provides an important finding on the determinants of the sacrifice ratio: central bank independence is not a determining factor for the sacrifice ratio when political regimes and other factors are controlled for. Our replication study shows that their result is driven by errors in the data. With correct data, it can be found that central bank independence is positively and significantly correlated with the sacrifice ratio, even when the nature of the political regime is controlled for.     

A Cross‐Country Analysis of the Risk Factors for Depression at the Micro and Macro Levels

Past research has provided evidence of the role of some personal characteristics (age, gender, religion) as risk factors for depression. However, few researchers have jointly examined the specific impact of each characteristic and whether country characteristics (economic performance and others environmental factors) change the probability of being depressed. In general, this is due to the use of single‐country databases. The aim of this article is to extend previous findings by employing a much larger dataset and including the above‐mentioned country effects. We estimate probit models with country effects (model I) and we also explore linkages between specific environmental factors and depression (model II includes variables such as per capita Gross Domestic Product and the GINI index). The dataset for this research comes from the 2007 GALLUP Public Opinion Poll that allows us to consider a large and widely heterogeneous set of micro‐data. Findings indicate that depression is positively related to being a woman, adulthood, divorce, widowhood, unemployment, and low income. Moreover, we provide evidence of the significant association between economic performance and depression. Inequality raises the probability of being depressed, specially for those living in urban areas. Finally, we find that some population characteristics such as age distribution and religious affiliation facilitate depression.     

M‐PRESS‐CreditRisk: Microprudential and Macroprudential Capital Requirements for Credit Risk under Systemic Stress

M‐PRESS‐CreditRisk is a novel stress testing approach that can help authorities gauge banks' capital adequacy related to credit risk. For the first time, it combines the assessment of microprudential capital requirements under Pillars 1 and 2 and macroprudential buffers in a unified, coherent framework. Its core element is an advanced credit portfolio model—SystemicCreditRisk—built upon a rich, nonlinear dependence structure for correlated bank portfolios. The model is applied to a sample of 12 systemically important German banking groups and delivers measures for systemic credit risk and the banks' contributions to it in both baseline and stress scenarios.