Predicting Bank Defaults in Ukraine: A Macro-Micro Perspective
This paper develops an early warning model (EWM) for a micro-macro analysis of individual and aggregated bank vulnerabilities in Ukraine. We applied a stepwise logit for predicting defaults at Ukrainian banks based on a panel bank and macro-level data from Q1 2009 to Q3 2019. Next, we aggregated ind...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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National Bank of Ukraine
2020-12-01
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| Series: | Visnyk of the National Bank of Ukraine |
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| Online Access: | http://journal.bank.gov.ua/uploads/articles/250-3.pdf |
| _version_ | 1818677503234932736 |
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| author | Anatolii Hlazunov Olesia Verchenko |
| author_facet | Anatolii Hlazunov Olesia Verchenko |
| author_sort | Anatolii Hlazunov |
| collection | DOAJ |
| description | This paper develops an early warning model (EWM) for a micro-macro analysis of individual and aggregated bank vulnerabilities in Ukraine. We applied a stepwise logit for predicting defaults at Ukrainian banks based on a panel bank and macro-level data from Q1 2009 to Q3 2019. Next, we aggregated individual bank default probabilities to provide policymakers with information about the general state of the financial system with a particular focus on generating a signal for countercyclical capital buffer (CCB) activation. Our key findings suggest that the probability of default exceeding 11% could signal about a vulnerable state in a bank and, in the aggregated model, in a financial system in general. The aggregated model successfully issues an out-of-sample signal of a systemic crisis four periods ahead of the start of the 2014-2015 turmoil. |
| first_indexed | 2024-12-17T09:00:24Z |
| format | Article |
| id | doaj.art-7129ad8f78ca48cf931e53f5887bf791 |
| institution | Directory Open Access Journal |
| issn | 2414-987X |
| language | English |
| last_indexed | 2024-12-17T09:00:24Z |
| publishDate | 2020-12-01 |
| publisher | National Bank of Ukraine |
| record_format | Article |
| series | Visnyk of the National Bank of Ukraine |
| spelling | doaj.art-7129ad8f78ca48cf931e53f5887bf7912022-12-21T21:55:45ZengNational Bank of UkraineVisnyk of the National Bank of Ukraine2414-987X2020-12-01250334410.26531/vnbu2020.250.03Predicting Bank Defaults in Ukraine: A Macro-Micro PerspectiveAnatolii Hlazunov0Olesia Verchenko1National Bank of UkraineKyiv School of EconomicsThis paper develops an early warning model (EWM) for a micro-macro analysis of individual and aggregated bank vulnerabilities in Ukraine. We applied a stepwise logit for predicting defaults at Ukrainian banks based on a panel bank and macro-level data from Q1 2009 to Q3 2019. Next, we aggregated individual bank default probabilities to provide policymakers with information about the general state of the financial system with a particular focus on generating a signal for countercyclical capital buffer (CCB) activation. Our key findings suggest that the probability of default exceeding 11% could signal about a vulnerable state in a bank and, in the aggregated model, in a financial system in general. The aggregated model successfully issues an out-of-sample signal of a systemic crisis four periods ahead of the start of the 2014-2015 turmoil.http://journal.bank.gov.ua/uploads/articles/250-3.pdfearly warning models (ewm)bank default probabilitycountercyclical capital buffer |
| spellingShingle | Anatolii Hlazunov Olesia Verchenko Predicting Bank Defaults in Ukraine: A Macro-Micro Perspective Visnyk of the National Bank of Ukraine early warning models (ewm) bank default probability countercyclical capital buffer |
| title | Predicting Bank Defaults in Ukraine: A Macro-Micro Perspective |
| title_full | Predicting Bank Defaults in Ukraine: A Macro-Micro Perspective |
| title_fullStr | Predicting Bank Defaults in Ukraine: A Macro-Micro Perspective |
| title_full_unstemmed | Predicting Bank Defaults in Ukraine: A Macro-Micro Perspective |
| title_short | Predicting Bank Defaults in Ukraine: A Macro-Micro Perspective |
| title_sort | predicting bank defaults in ukraine a macro micro perspective |
| topic | early warning models (ewm) bank default probability countercyclical capital buffer |
| url | http://journal.bank.gov.ua/uploads/articles/250-3.pdf |
| work_keys_str_mv | AT anatoliihlazunov predictingbankdefaultsinukraineamacromicroperspective AT olesiaverchenko predictingbankdefaultsinukraineamacromicroperspective |