Wpływ rotacji na stanowisku prezesa banku centralnego i wahań kredytu na koszty kryzysów bankowych

• Autorzy: Michał Brzozowski

Warianty tytułu

The Impact of Central Bank Turnover and Credit Volatility on the Costs of Banking Crises

• Języki publikacji: PL

Abstrakty

Tematem artykułu jest wpływ rotacji na stanowisku prezesa banku centralnego i wahań kredytu krajowego na prawdopodobieństwo wystąpienia i koszty kryzysów bankowych. Wykorzystując dane dla 83 przypadków kryzysów w krajach rozwiniętych i wschodzących oraz model Heckmana, pokazano, że jedynie nieregularne zmiany oraz wahania kredytu mają wpływ zarówno na koszty kryzysów bankowych, jak i ich wybuchy. Wzrost kredytu zgodny z trendem zwiększa jedynie prawdopodobieństwo kryzysu. (abstrakt oryginalny)

EN

The paper focuses on the impact of central bank governor turnover and domestic credit volatility on the probability of the occurrence and costs of banking crises. Using data on 83 crises episodes in developed and emerging countries and the Heckman model, I show that only irregular turnover and credit volatility impact on both the output costs of crises and their emergence. Trend credit expansion raises only the likelihood of a crisis. (original abstract)

Słowa kluczowe

PL

Kryzys bankowy; Niezależność banku centralnego; Kredyt; Kredyt bankowy; Banki centralne; Model Heckmana

EN

Banking crisis; Central bank independence; Credit; Bank credit; Central banks; Heckman model (heckit model)

• Czasopismo: Studia Oeconomica Posnaniensia
• Rocznik: 2017
• Tom: 5
• Numer: nr 8 Wyzwania finansów międzynarodowych wobec przebudowy światowego systemu finansowego
• Strony: 32--49

Twórcy

autor

Michał Brzozowski

• Uniwersytet Warszawski

Bibliografia

• Abiad, A., Balakrishnan, R., Brooks, P.K., Leigh, D., Tytell, I., 2009, What's the Damage? Medium-term Output Dynamics After Banking Crises, IMF Working Paper WP/09/245, International Monetary Fund, Washington DC.
• Amaglobeli, D., End, N., Jarmuzek, M., Palomba, G., 2015, From Systemic Banking Crises to Fiscal Costs: Risk Factors, IMF Working Paper, no. 166, International Monetary Fund, Washington DC.
• Angkinand, A.P., 2009, Banking Regulation and the Output Cost of Banking Crises, Journal of International Financial Markets, Institutions and Money, vol. 19, s. 240-257.
• Ball, L., 2014, Long-Term Damage from the Great Recession in OECD Countries, European Journal of Economics and Economic Policies: Intervention, vol. 11, no. 2, s. 149-160.
• Borio, C., 2012, The Financial Cycle and Macroeconomics: What Have We Learnt?, BIS Working Paper 395, Bank for International Settlements, Basel.
• Boyd, J.H., Kwak, S., Smith, B., 2005,The Real Output Losses Associated with Modern Banking Crises, Journal of Money, Credit and Banking, vol. 37, no. 6, s. 977-999.
• Caballero, J., 2012, Banking Crises and Financial Integration, IDB Working Paper Series, no. IDB-WP-364, Inter-American Development Bank, Washington DC.
• Cecchetti, S.G., Kohler, M., Upper C., 2009, Financial Crises and Economic Activity, Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, Kansas City, s. 89-135.
• Claessens, S., Kose, M.A., 2013, Financial Crises: Explanations, Types, and Implications, IMF Working Paper, no. 28, International Monetary Fund, Washington DC.
• Demirgüç-Kunt, A., Detragiache, E., 1998, The Determinants of Banking Crises in Developing and Developed Countries, IMF Staff Papers, vol. 45, s. 81-109.
• Demirgüç-Kunt, A., Detragiache, E., Gupta, P., 2000, Inside the Crisis. Empirical Analysis of Banking System in Distress, IMF Working Paper WP/00/156, International Monetary Fund, Washington DC.
• Dreher, A., Sturm, J.-E., de Haan, J., 2008, Does High Inflation Cause Central Bankers to Lose Their Job? Evidence Based on A New Data Set, European Journal of Political Economy, vol. 24, no. 4, s. 778-787.
• Furceri, D., Mourougane, A., 2012, The Effect of Financial Crises on Potential Output: New Empirical Evidence from OECD Countries, Journal of Macroeconomics, vol. 34, s. 822-832.
• Furceri, D., Zdzienicka, A., 2011, The Real Effect of Financial Crises in the European Transition Economies, Economics in Transition, vol. 19, no.1, s. 1-25.
• Haltmaier, J., 2013, Do Recessions Affect Potential Output?, FRB International Finance Discussion Paper, no. 1066, Board of Governors of the Federal Reserve System, Washington DC.
• Heckman, J., 1976, The Common Structure of Statistical Models of Truncation, Sample Selection and Limited Dependent Variables and a Simple Estimator for Such Models, Annals of Economic and Social Measurement, vol. 5, s. 475-492.
• Koetter, M., Roszbach, K., Spagnolo, G., 2014, Financial Stability and Central Bank Governance, International Journal of Central Banking, vol. 10, no. 4, s. 31-67.
• Laeven, L., Valencia, F., 2013, Systemic Banking Crises Database, IMF Economic Review, vol. 61, no. 2, s. 225-270.
• Lane, P., 2011, The Irish Crisis, IIIS Discussion Paper, no. 356, Institute for International Integration Studies, Dublin.
• Ravn, M.O., Uhlig, H., 2002, On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations, The Review of Economics and Statistics, vol. 84, no. 2, s. 371-380.
• Schularick, M., Taylor, A.M., 2012, Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870-2008, American Economic Review, vol. 102 (April), s. 1029-1061.
• Turrini, A., Roeger, W., Székely, I.P., 2012, Banking Crises, Output Loss, and Fiscal Policy, CESifo Economic Studies, vol. 58, no. 1, s. 181-219.
• Wilms, P., Swank, J., de Haan, J., 2014, Determinants of Real Impact of Banking Crises: A Review and New Evidence, DNB Working Paper, no. 437, De Nederlandsche Bank, Amsterdam.

Identyfikatory

DOI

10.18559/SOEP.2017.8.3