A dual early warning model of bank distress.

Papanikolaou, N.I., 2018. A dual early warning model of bank distress. Economics letters, 162 (January), 127 - 130.

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DOI: 10.1016/j.econlet.2017.10.028

Abstract

We develop a model that estimates the joint determination of the probability of a distressed bank to go bankrupt or to be bailed out. We obtain precise parameter estimates and superior in- and out-of-sample forecasts, which demonstrate that the determinants of failures differ from those of bailouts. Overall, we provide a mechanism for preventing welfare losses due to bank distress.

Item Type:Article
ISSN:0165-1765
Uncontrolled Keywords:financial crisis; bank distress; early warning model; forecasting power
Group:Faculty of Management
ID Code:30053
Deposited By: Unnamed user with email symplectic@symplectic
Deposited On:28 Nov 2017 14:56
Last Modified:28 Nov 2017 14:57

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