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4 octobre 2022
- handle: 10670/1.neogsa
- hal: hal-03752678
info:eu-repo/semantics/OpenAccess
Mots-clés
Bank Distress Early Warning Systems Financial Analysts Credit Rating Agencies E - Macroeconomics and Monetary Economics/E.E4 - Money and Interest Rates/E.E4.E44 - Financial Markets and the Macroeconomy F - International Economics/F.F3 - International Finance/F.F3.F37 - International Finance Forecasting and Simulation: Models and Applications G - Financial Economics/G.G2 - Financial Institutions and Services/G.G2.G21 - Banks • Depository Institutions • Micro Finance Institutions • Mortgages G - Financial Economics/G.G2 - Financial Institutions and Services/G.G2.G24 - Investment Banking • Venture Capital • Brokerage • Ratings and Ratings AgenciesSujets proches
Financial intermediaries Lending institutions Funds Funding Borrowing Finance, commerce, confiscations, etcCiter ce document
Quentin Bro de Comères, « Predicting European Banks Distress Events: Do Financial Information Producers Matter? », HAL-SHS : économie et finance, ID : 10670/1.neogsa
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Résumé
This article assesses the predictive power of sell-side stock analysts and credit rating agencies on the prevision of European banks distress events by introducing their respective disclosures into a logit early-warning system over the 2000-2020 period. As direct bank failures are rare in Europe, we construct a dataset accounting for direct failures and state and private sector interventions. The model is calibrated to minimize the loss of a decision-maker committed to prevent impending distress events and is estimated in a real-time fashion. We also control for bank- and macro-level data. We find both financial information producers’ disclosures to display forward-looking informative and predictive performance on bank distress risk up to two years in advance.