期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2013
出版社：European Central Bank
摘要：The paper develops an early-warning model for predicting vulnerabilities leading to distress in European banks using both bank and country-level data. As outright bank failures have been rare in Europe, the paper introduces a novel dataset that complements bankruptcies and defaults with state interventions and mergers in distress. The signals of the earlywarning model are calibrated not only according to the policymaker's preferences between type I and II errors, but also to take into account the potential systemic relevance of each individual nancial institution. The key ndings of the paper are that complementing bankspeci c vulnerabilities with indicators for macro- nancial imbalances and banking sector vulnerabilities improves model performance and yields useful out-of-sample predictions of bank distress during the current nancial crisis.
关键词：The paper develops an early-warning model for predicting vulnerabilities leading to distress;in European banks using both bank and country-level data. As outright bank failures;have been rare in Europe; the paper introduces a novel dataset that complements bankruptcies;and defaults with state interventions and mergers in distress. The signals of the earlywarning;model are calibrated not only according to the policymaker's preferences between;type I and II errors; but also to take into account the potential systemic relevance of each;individual nancial institution. The key ndings of the paper are that complementing bankspeci; c vulnerabilities with indicators for macro- nancial imbalances and banking sector;vulnerabilities improves model performance and yields useful out-of-sample predictions of;bank distress during the current nancial crisis.
