دانلود رایگان مقاله انگلیسی آناتومی آسیب پذیری های مالی و بحران های بانکی - الزویر 2018

Abstract:

We extend the framework of Aikman, Kiley, Lee, Palumbo, and Warusawitharana (2017) that maps vulnerabilities in the U.S. financial system to a broader set of financial vulnerabilities in 27 advanced and emerging economies. We capture a holistic view of the evolution of financial vulnerabilities before and after a banking crisis. We find that, before a banking crisis, pressures in asset valuations materialize first and then a build-up of imbalances in the external, financial, and nonfinancial sectors occurs. After a crisis, these vulnerabilities subside, but sovereign debt imbalances rise as governments try to mitigate the consequences of the crises. Our main indexes, which aggregate these vulnerabilities, predicts banking crises better than the credit-to-GDP gap (CGG) or sector-specific vulnerability indexes, especially at long horizons. Our aggregate indexes also explain the variation in the severity of banking crises and the duration of recessions relatively well, as it incorporates possible spillover and amplification channels of financial vulnerabilities from one sector to another. Therefore, our framework is useful for macroprudential policy making and crisis management.

7 Conclusions

We use a bottom-up approach in creating vulnerability measures within the financial system. This allows us to investigate how different broad categories of vulnerabilities and imbalances in financial systems evolve around banking crises. In particular, we showed how valuation pressures mount, then external, financial sector, and nonfinancial sector vulnerabilities become elevated prior to financial crises. An aggregate measure of our individual vulnerability indexes has some nice features. First, it appears to be helpful in predicting banking crises. In addition, aggregate measures of vulnerabilities in the financial system can even give an idea of how severe a crises may be after the crises has occurred as the aggregation considers the dynamics of overheating of the financial system and the subsequent unwinding or unraveling, affecting many sectors as a banking crisis runs its course. Although vulnerability measures appear to be less associated with the onset of recessions, aggregate measures of financial system vulnerabilities seem to explain some of variation in the length of recessions once they do occur, as disruptions to economic activity can be spread through the financial system.

Our findings have potential to have important policy implications. Mainly, as a financial stability monitoring tool, our framework has not only the power to detect the build-up of vulnerabilities and imbalances in the financial system two to three years before the onset of financial crises, it would also presumably provide useful information regarding how forcefully a government may want to intervene when dealing with financial crises once they have occurred. Not only would measures such as the LPS or LPS + Sovereign Indexes be useful before financial crises for macroprudential policy (such as for calibrating triggers for setting counter-cyclical capital buffers), but potentially even afterwards in the context of crisis management policy as well. The results regarding the aggregate indexes in explaining some of the variation in the length of recessions also has similar policy implications.