审慎政策的底线在哪里？对银行业稳定性和风险承受能力的见解

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-05-22 DOI:10.1016/j.frl.2025.107609

Petr Jakubik , Bogdan Gabriel Moinescu

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引用次数: 0

摘要

本研究使用基于银行违约率和宏观经济指标的阈值模型估算了银行违约的自然率，即不太可能发生系统性银行危机的阈值。我们分析了过去40年全球重大危机的数据，发现关键违约率为0.25%，相当于每年每400家银行中有一家违约。与“BBB”评级一致，该基准支持监管风险承受能力框架的校准。此外，该研究为审慎政策设计提供了一种可复制的、数据驱动的方法，将可接受的银行倒闭频率与关键宏观经济变量（尤其是通胀指标）联系起来。

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Where to draw the line in prudential policy? Insights into banking stability and risk tolerance

This study estimates the natural rate of bank defaults, the threshold below which systemic banking crises are unlikely, using a threshold model based on bank default rates and macroeconomic indicators. Analyzing global data from major crises over the past 40 years, we identify a critical default rate of 0.25 %, equivalent to one default per 400 banks annually. Aligned with a 'BBB' rating, this benchmark supports the calibration of supervisory risk tolerance frameworks. Moreover, the study provides a replicable, data-driven approach to prudential policy design, linking acceptable bank failure frequency to key macroeconomic variables, especially inflation indicators.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance