Based on a sample of active and non-active banks operating in four areas of specialization: commercial banks, co-operative banks, savings banks and real estate and mortgage banks, belonging to 12 European countries over the period 2001-2011, this paper examines whether the Z-score is indeed a valuable measure to predict bank distress. Additionally, in order to verify whether the predictive power of the Z-score varies before and during the recent crisis, the sample period is further split into two sub-periods: the pre-crisis period (2001–2007) and the crisis years (2008–2011). The results of the empirical analysis indicate that the Z-score is a key determinant of the probability of bank distress in all the sample periods considered. In addition, the paper finds that complementing the Z-score with indicators for bank size and bank risk improves the model performance, only during the whole period and the crisis years. The contribution of macro-variables results basically insignificant.

Chiaramonte, L., Poli, F., Predicting European Bank Distress: Evidence from the recent financial crisis, in Lindblom, T., Sjögren, S., Willesson, M. (ed.), Governance, Regulation and Bank Stability, Palgrave Macmillan, Londra 2014: 77- 99 [http://hdl.handle.net/10807/60056]

Predicting European Bank Distress: Evidence from the recent financial crisis

Chiaramonte, Laura;Poli, Federica
2014

Abstract

Based on a sample of active and non-active banks operating in four areas of specialization: commercial banks, co-operative banks, savings banks and real estate and mortgage banks, belonging to 12 European countries over the period 2001-2011, this paper examines whether the Z-score is indeed a valuable measure to predict bank distress. Additionally, in order to verify whether the predictive power of the Z-score varies before and during the recent crisis, the sample period is further split into two sub-periods: the pre-crisis period (2001–2007) and the crisis years (2008–2011). The results of the empirical analysis indicate that the Z-score is a key determinant of the probability of bank distress in all the sample periods considered. In addition, the paper finds that complementing the Z-score with indicators for bank size and bank risk improves the model performance, only during the whole period and the crisis years. The contribution of macro-variables results basically insignificant.
Inglese
Governance, Regulation and Bank Stability
9781137413536
Palgrave Macmillan
Chiaramonte, L., Poli, F., Predicting European Bank Distress: Evidence from the recent financial crisis, in Lindblom, T., Sjögren, S., Willesson, M. (ed.), Governance, Regulation and Bank Stability, Palgrave Macmillan, Londra 2014: 77- 99 [http://hdl.handle.net/10807/60056]
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10807/60056
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