The market's view on the probability of banking sector failure: cross-country comparisons

Bystrom, H

The market's view on the probability of banking sector failure: cross-country comparisons

Bystrom, H

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Publisher:: Elsevier
Publication Type:: Journal Article
Citation:: Journal of International Financial Markets, Institutions & Money, 2004, 14 (5), pp. 419 - 438
Issue Date:: 2004-01

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Field	Value	Language
dc.contributor.author	Bystrom, H
dc.date.accessioned	2009-12-21T02:37:58Z
dc.date.issued	2004-01
dc.identifier.citation	Journal of International Financial Markets, Institutions & Money, 2004, 14 (5), pp. 419 - 438
dc.identifier.issn	1042-4431
dc.identifier.other	C1	en_US
dc.identifier.uri	http://hdl.handle.net/10453/5385
dc.description.abstract	Hall and Miles (1990) suggest an approach of estimating default probabilities of banks using stock market information, and in this paper we apply an aggregated version of their approach to banking sectors around the world in both developed and emerging economies. We study the market's assessment of the probability of systemic banking crises world wide over the last decade, including the Asian crisis 1997-1998. In addition, we investigate whether there is a relationship between the failure probability and institutional features of the actual banking sector. The quality of governance and the degree of law and order in a country is found to be significantly negatively related to the market based failure probabilities as is an explicit deposit insurance during periods of crisis. © 2004 Elsevier B.Y. All rights reserved.
dc.publisher	Elsevier
dc.relation.ispartof	Journal of International Financial Markets
dc.relation.isbasedon	10.1016/j.intfin.2003.12.003
dc.rights	info:eu-repo/semantics/closedAccess
dc.subject	Finance
dc.title	The market's view on the probability of banking sector failure: cross-country comparisons
dc.type	Journal article
utslib.citation.volume	14
utslib.citation.number	5	en_US
utslib.location	Amsterdam, The Netherlands	en_US
utslib.citation.startpage	419	en_US
utslib.citation.endpage	438	en_US
utslib.identifier.org	Finance and Economics	en_US
utslib.for	1402 Applied Economics
utslib.for	1502 Banking, Finance and Investment
pubs.embargo.period	Not known
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.declined	1970-01-01T00:00:00.0+1000

Abstract:

Hall and Miles (1990) suggest an approach of estimating default probabilities of banks using stock market information, and in this paper we apply an aggregated version of their approach to banking sectors around the world in both developed and emerging economies. We study the market's assessment of the probability of systemic banking crises world wide over the last decade, including the Asian crisis 1997-1998. In addition, we investigate whether there is a relationship between the failure probability and institutional features of the actual banking sector. The quality of governance and the degree of law and order in a country is found to be significantly negatively related to the market based failure probabilities as is an explicit deposit insurance during periods of crisis. © 2004 Elsevier B.Y. All rights reserved.

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http://hdl.handle.net/10453/5385