In this paper, we test whether the efficient market hypothesis works in the context of Indian banking sector. In particular, using a panel dataset of 39 publicly listed banks in India for 2009–2017, we test whether equity markets provide any lead information about stress in the banking system...

This article investigates the use of factor-based methods for predicting industry-wide bank stress. Specifically, using the variables detailed in the Federal Reserve Board of Governors’ bank stress scenarios, the authors construct a small collection of distinct factors. We then investigate the...

This paper explores the interconnections among foreign term spreads across different economies and their systemic implications on crisis vulnerability. The term spread, understood as the difference between long‐term and short‐term interest rates on Treasury securities, has a well‐known...

We estimate a multivariate early-warning model to assess the usefulness of private credit and other macro-financial variables in predicting banking sector vulnerabilities. Using data for 23 European countries, we find that global variables and in particular global credit growth are strong...

This Occasional Paper presents a formal statistical evaluation of potential early warning indicators for real estate-related banking crises. Relying on data on real estate-related banking crises for 25 EU countries, a signalling approach is applied in both a non-parametric and a parametric...

In several recent studies unit root methods have been used in detection of financial bubbles in asset prices. The basic idea is that fundamental changes in the autocorrelation structure of relevant time series imply the presence of a rational price bubble. We provide cross-country evidence for...