Could financial statements predict the Spanish banking system stress-test results? A logit analysis
¿Permitían los estados financieros predecir los resultados de los tests de estrés de la banca española? Una aplicación del modelo logit
Abstract
The Spanish financial system faces a new situation defined by a financial crisis and higher capital requirements. These institutions are involved in a restructuring and refinancing process, and have recently been submitted to a stress test in order to check their solvency and resilience against increasingly worse economic conditions.This study aims to predict the stress test results–capital excess or shortfall–by means of indicators obtained from the financial statements and from the Prudential Relevance report. Both standard and exact logistic regressions are used due to the small sample size considered.The results show that both autonomy ratio (equity vs. debt) and best quality capital have a strong predictive capability.The main contribution of this paper is to contrast the Spanish banking stress test results by identifying accounting ratios that allow almost the same conclusions to be reached.
Downloads
-
Abstract342
-
PDF (Español (España))227
References
[Allen y Saunders, 2004] L. Allen, A. Saunders. Incorporating systemic influences into risk measurements: A survey of the literature. Journal of Financial Services Research, 26 (2004), pp. 161-192
[Andersen, 2011] H. Andersen. Procyclical implications of Basel II: Can the cyclicality of capital requirements be contained?. Journal of Financial Stability, 7 (2011), pp. 138-154
[Angelini et al., 2011] Angelini, P., Clerc, L., Cúrdia, V., Gambacorta, L., Gerali, A., Locarno, A., Motto, R., Roeger, W., van den Heuvel, S. & Viček, J. (2011). Basel III: Long-term impact on economic performance and fluctuations. Bank for International Settlements (BIS), Working papers 338, Monetary and economic department.
[Arena, 2008] M. Arena. Bank failures and bank fundamentals: A comparative analysis of Latin America and East Asia during the nineties using bank-level data. Journal of Banking & Finance, 32 (2008), pp. 299-310 http://dx.doi.org/10.1136/bjophthalmol-2014-306411
[Arévalo Quijada et al., 2002] M.T. Arévalo Quijada, D. Gómez Domínguez, M.J. Vázquez Cueto, A. Zapata Reina. Un estudio de las cajas de ahorros andaluzas mediante el método multicriterio Promethee. Estudios de Economía Aplicada, 20 (2002), pp. 5-27
[Ayuso et al., 2004] J. Ayuso, D. Pérez, J. Saurina. Are capital buffers pro-cyclical? Evidence from Spanish panel data. Journal of Financial Intermediation, 13 (2004), pp. 249-264
[Banco de España, 2008] Banco de España (2008). Circular 3/2008, de 22 de mayo, del Banco de España, a entidades de crédito, sobre determinación y control de los recursos propios mínimos.
[Banco de España, 2012] Banco de España (2012). Circular 7/2012, de 30 de noviembre, del Banco de España, a entidades de crédito, sobre requerimientos mínimos de capital principal.
[Barrell et al., 2010] R. Barrell, E.P. Davis, D. Karim, I. Liadze. Bank regulation, property prices and early warning systems for banking crises in OECD countries. Journal of Banking & Finance, 34 (2010), pp. 2255-2264 http://dx.doi.org/10.1136/bjophthalmol-2014-306411
[BCBS, 1988] Basel Committee on Banking Supervision (BCBS). (1988). International convergence of capital measurement and capital standards. Bank for International Settlements (BIS).
[BCBS, 2004] BCBS (2004). International convergence of capital measurement and capital standards: A revised framework. Bank for International Settlements (BIS).
[BCBS, 2010a] BCBS (2010a). Countercyclical capital buffer proposal. Bank for International Settlements (BIS) Consultative document.
[BCBS, 2010b] BCBS (2010b). Basel III: International framework for liquidity risk measurement, standards and monitoring. Bank for International Settlements (BIS).
[BCBS, 2010c] BCBS (2010c). Basel III: A global regulatory framework for more resilient banks and banking systems. Bank for International Settlements (BIS).
[BCBS, 2011] BCBS (2011). Global systemically important banks: Assessment methodology and the additional loss absorbency requirement–Final document. Bank for International Settlements (BIS).
[BCBS, 2012a] BCBS (2012a). Composition of capital disclosure requirements–Rules text. Bank for International Settlements (BIS).
[BCBS, 2012b] BCBS (2012b). A framework for dealing with domestic systemically important banks–Final document. Bank for International Settlements (BIS).
[BCBS, 2012c] BCBS (2012c). Progress report on Basel III implementation. Bank for International Settlements (BIS).
[Bebenroth et al., 2009] R. Bebenroth, D. Dietrich, U. Vollmer. Bank regulation and supervision in bank-dominated financial systems: A comparison between Japan and Germany. European Journal of Law and Economics, 2 (2009), pp. 177-209
[Borio et al., 2001] C. Borio, C. Furfine, P. Lowe. Procyclicality of the financial system and financial stability: Issues and policy option. En Marrying the macro- and micro-prudential dimensions of financial stability. BIS Papers, 1 (2001), pp. 1-57
[Canbas et al., 2005] S. Canbas, A. Cabuk, S.B. Kilic. Prediction of commercial bank failure via multivariate statistical analysis of financial structures: The Turkish case. European Journal of Operational Research, 166 (2005), pp. 528-546
[Carrasco Gallego, 1999] A. Carrasco Gallego. Fundamentos de los sistemas de alerta en las entidades de supervisión bancaria. Revista Española de Financiación y Contabilidad, 28 (1999), pp. 1043-1074
[Claessens et al., 2008] S. Claessens, G.R.D. Underhill, X. Zhang. The political economy of Basle II: The costs for poor countries. World Economy, 31 (2008), pp. 313-344
[Curry et al., 2008] T.J. Curry, G.S. Fissel, C.D. Ramirez. The impact of bank supervision on loan growth. North American Journal of Economics and Finance, 19 (2008), pp. 113-134
[Dabos y Sosa Escudero, 2004] M. Dabos, W. Sosa Escudero. Explaining and predicting bank failure using duration models: The case of Argentina after the Mexican crisis. Revista de Análisis Económico, 19 (2004), pp. 31-49
[Daley et al., 2008] J. Daley, K. Matthews, K. Whitfield. Too-big-to-fail: Bank failure and banking policy in Jamaica. Journal of International Financial Markets, Institutions and Money, 18 (2008), pp. 290-303
[Daníelsson, 2003] J. Daníelsson. On the feasibility of risk based regulation. CESifo Economic Studies, 49 (2003), pp. 157-179
[Davis y Karim, 2008] E.P. Davis, D. Karim. Comparing early warning systems for banking crises. Journal of Financial Stability, 4 (2008), pp. 89-120
[Decamps et al., 2004] J.-P. Decamps, J.-C. Rochet, B. Roger. The three pillars of Basel II: Optimizing the mix. Journal of Financial Intermediation, 13 (2004), pp. 132-155
[Demirgüç-Kunt y Detragiache, 1998] A. Demirgüç-Kunt, E. Detragiache. The determinants of banking crises in developed and developing countries. International Monetary Fund Staff Paper, 45 (1998),
[Demirgüç-Kunt y Detragiache, 2005] Demirgüç-Kunt, A. y Detragiache, E. (2005). Cross-country empirical studies of systemic bank distress: A survey. IMF, Working paper No. WP/05/96.
[Demirgüç-Kunt y Huizinga, 2004] A. Demirgüç-Kunt, H. Huizinga. Market discipline and deposit insurance. Statistics and Probability Letters, 66 (2004), pp. 375-399
[Directiva, 2006/48] Directiva, 2006/48/CE del Parlamento Europeo y del Consejo, de 14 de junio de 2006, relativa al acceso a la actividad de las entidades de crédito y a su ejercicio.
[Directiva, 2006/49] Directiva, 2006/49/CE del Parlamento Europeo y del Consejo, de 14 de junio de 2006, sobre la adecuación del capital de las empresas de inversión y las entidades de crédito.
[Directiva, 2010/76] Directiva, 2010/76/UE del Parlamento Europeo y del Consejo, de 24 de noviembre de 2010, por la que se modifican las directivas 2006/48/CE y 2006/49/CE en lo que respecta a los requisitos de capital para la cartera de negociación y las retitulizaciones y a la supervisión de las políticas de remuneración.
[Drumond, 2009] I. Drumond. Bank capital requirements, business cycle fluctuations and the Basel accords: A synthesis. Journal of Economic Surveys, 23 (2009), pp. 798-830
[European Banking Authority, 2011] European Banking Authority (2011). European Banking Authority, 2011 EU-wide stress test aggregate report, doi: http://eba.europea.eu
[FSB, 2011] Financial Stability Board (2011). Key attributes of effective resolution regimes for financial institutions, doi: http://www.financialstabilityboard.org/publications/r_111104cc.pdf
[Freixas, 2010] X. Freixas. Post-crisis challenges to bank regulation. Economic Policy, 25 (2010), pp. 375-399
[Ghosh, 2007] S. Ghosh. Promoting market discipline through interest rates: Does financial liberalization matter?. Applied Economics Letters, 14 (2007), pp. 135-143
[Gordy y Howells, 2006] M.B. Gordy, B. Howells. Procyclicality in Basel II: Can we treat the disease without killing the patient?. Journal of Financial Intermediation, 15 (2006), pp. 395-417
[Griffith-Jones y Spratt, 2001] S. Griffith-Jones, S. Spratt. Will the proposed new Basel capital accord have a net negative effect on developing countries?. Institute of Development Studies, University of Sussex, (2001)
[Gutiérrez López, 2010] C. Gutiérrez López. El contradictorio papel de Basilea II en la crisis financiera actual: ¿acentúa el ciclo económico?. Análisis Financiero, 112 (2010), pp. 20-31
[Hair et al., 1999] J.F. Hair, R.E. Anderson, R.L. Tatham, W.C. Black. Análisis multivariante. 5.a ed., Madrid, (1999)
[Hayes et al., 2002] Hayes, S. Saporta, V. y Lodge, D. (2002). The impact of the new Basel Capital Accord on the supply of capital to emerging market economies. Financial Stability Review, London: December 2012, Bank of England.
[Heid, 2007] F. Heid. The cyclical effects of the Basel II capital requirements. Journal of Banking & Finance, 31 (2007), pp. 3885-3900 http://dx.doi.org/10.1136/bjophthalmol-2014-306411
[Hosmer y Lemeshow, 2000] D.W. Hosmer, S. Lemeshow. Applied logistic regression (2.a ed.). John Wiley & Sons, (2000)
[Iglesias-Sarria y Vargas, 2010] C. Iglesias-Sarria, F. Vargas. Entidades financieras sistémicas: discusión de posibles medidas. Estabilidad Financiera, 18 (2010), pp. 9-30
[IMF et al., 2009] International Monetary Fund, Bank for International Settlements & Financial Stability Board (2009): Guidance to assess the systemic importance of financial institutions, markets and instruments: Initial considerations.
[Jin et al., 2011] J.Y. Jin, K. Kanagaretnam, G.J. Lobo. Ability of accounting and audit quality variables to predict bank failure during the financial crisis. Journal of Banking & Finance, 35 (2011), pp. 2811-2819 http://dx.doi.org/10.1136/bjophthalmol-2014-306411
[Kolari et al., 2002] J. Kolari, D. Glennon, H. Shin, M. Caputo. Predicting large US commercial bank failures. Journal of Economics and Business, 54 (2002), pp. 361-387
[Kraft y Galac, 2007] E. Kraft, T. Galac. Deposit interest rates, asset risk and bank failure in Croatia. Journal of Financial Stability, 2 (2007), pp. 312-337
[Laffarga Briones et al., 1985] J. Laffarga Briones, J.L. Martín Marín, M.J. Vázquez Cueto. El análisis de la solvencia en las instituciones bancarias: propuesta de una metodología y aplicaciones a la banca española. ESIC Market, 48 (1985), pp. 51-73
[Laffarga Briones et al., 1991] J. Laffarga Briones, J.L. Martín Marín, M.J. Vázquez Cueto. La predicción de la quiebra bancaria el caso español. Revista Española de Financiación y Contabilidad, 66 (1991), pp. 151-166
[Landsjroner y Raroush, 2008] Y. Landsjroner, J. Raroush. Bank management and market discipline. Journal of Economics and Business, 60 (2008), pp. 395-414
[Liebig et al., 2007] T. Liebig, D. Porath, B. Weder, M. Wedow. Basel II and bank lending to emerging markets: Evidence from the German banking sector. Journal of Banking & Finance, 31 (2007), pp. 401-418 http://dx.doi.org/10.1136/bjophthalmol-2014-306411
[Logan, 2001] A. Logan. The United Kingdom small banks’ crisis of the early 1990. What were the leading indicators of failure?. Bank of England Working Paper, (2001), pp. 139
[Majnoni et al., 2005] G. Majnoni, A. Powell, P. Correa, P. Brock. Reforming bank capital requirements: Implications of Basel II for Latin American countries. Economía, 5 (2005), pp. 105-149
[Mariano y Martínez-Miera, 2011] B. Mariano, D. Martínez-Miera. Requisitos de capital y prociclicidad en el crédito. Perspectivas del Sistema Financiero, 102 (2011), pp. 25-34
[Mehta y Patel, 1991] C.R. Mehta, N.R. Patel. Statistique non-parametrique exacte. Introduction à StatXact. CISIA, (1991)
[Mehta y Patel, 1995] C.R. Mehta, N.R. Patel. Exact logistic regression: Theory and examples. Statistics in Medicine, 14 (1995), pp. 2143-2160
[Molina, 2002] C.A. Molina. Predicting bank failures using a hazard model: The Venezuelan banking crisis. Emerging Markets Review, 3 (2002), pp. 31-50
[Oliver Wyman, 2012] Oliver Wyman (2012). Asset quality review and bottom-up stress test exercise, doi: http://www.bde.es/f/webbde/SSICOM/20120928/informe_ow280912e.pdf
[Pina, 1989] V. Pina. Estudio empírico de la crisis bancaria. Revista Española de Financiación y Contabilidad, 38 (1989), pp. 309-338
[Powell, 2004] A. Powell. Implicaciones de Basilea II para América Latina. Estabilidad Financiera, 6 (2004), pp. 149-172
[Real Decreto-ley, 9/2009] Real Decreto-ley, 9/2009, de 26 de junio, sobre reestructuración bancaria y reforzamiento de los recursos propios de las entidades de crédito.
[Real Decreto-ley, 6/2010] Real Decreto-ley, 6/2010, de 9 de abril, de medidas para el impulso de la recuperación económica y el empleo.
[Real Decreto-ley, 11/2010] Real Decreto-ley, 11/2010, de 9 de julio, de órganos de gobierno y otros aspectos del régimen jurídico de las cajas de ahorros.
[Real Decreto-ley, 2/2011] Real Decreto-ley, 2/2011, de 18 de febrero, para el reforzamiento del sistema financiero.
[Real Decreto-ley, 16/2011] Real Decreto-ley, 16/2011, de 14 de octubre, por el que se crea el Fondo de. Garantía de Depósitos de Entidades de Crédito.
[Real Decreto-ley, 2/2012] Real Decreto-ley, 2/2012, de 3 de febrero, de saneamiento del sector financiero.
[Real Decreto-ley, 18/2012] Real Decreto-ley, 18/2012, de 11 de mayo, sobre saneamiento y venta de los activos inmobiliarios del sector financiero.
[Real Decreto-ley, 24/2012] Real Decreto-ley, 24/2012,, de 31 de agosto, de reestructuración y resolución de entidades de crédito.
[Repullo y Saurina, 2011] Repullo, R. y Saurina, J. (2011). The countercyclical capital buffer of Basel III: A critical assessment. CEMFI Working Paper, 1102.
[Rochet, 2004] J.C. Rochet. Rebalancing the 3 pillars of Basel 2. Economic Policy Review, 10 (2004), pp. 7-21
[Rodríguez Fernández, 1989] J.M. Rodríguez Fernández. Análisis de las insolvencias bancarias en España: un modelo empírico. Moneda y Crédito, 189 (1989), pp. 187-227
[Segoviano y Lowe, 2002] Segoviano, M.A. y Lowe, P. (2002). Internal ratings, the business cycle and capital requirements: Some evidence from an emerging market economy. Financial Markets Group Discussion paper, 428. Londres: London School of Economics and Political Science.
[Serrano Cinca y Martín del Brío, 1993] C. Serrano Cinca, B. Martín del Brío. Predicción de la quiebra bancaria y modelos de redes neuronales artificiales. Revista Española de Financiación y Contabilidad, 23 (1993), pp. 153-176
[Sinkey, 1975] J.F. Sinkey Jr.. A multivariate statistical analysis of the characteristics of problem banks. The Journal of Finance, 30 (1975), pp. 21-36
[Slovik y Cournède, 2011] Slovik, P. y Cournède, B. (2011). Macroeconomic impact of Basel III. OECD Economics Departament Working Papers, No. 844.
[StataCorp, 2007] StataCorp. (2007): Stata Statistical Software: Release 10. StataCorp LP, College Station, TX.
[Stuhr y van Wicklen, 1974] P. Stuhr, V. van Wicklen. Rating the financial conditions of banks: A statistical approach to aid banking supervision. Monthy Review Federal Reserve Bank of New York, (1974), pp. 233-238
[Weder y Wedow, 2002] Weder, B. y Wedow, M. (2002). Will Basel II affect international lending to emerging markets? OECD Technical Papers, 199.
[Weelock y Wilson, 2000] D.C. Weelock, P.W. Wilson. Why do banks disappear? The determinants of U.S. bank failures and acquisitions. Review of Economics and Statistics, 82 (2000), pp. 127-138
[Yilmaz, 2009] E. Yilmaz. Capital accumulation and regulation. The Quarterly Review of Economics and Finance, 49 (2009), pp. 760-771
The publications in this journal are subject to the following terms:
1. Ediciones de la Universidad de Murcia (EDITUM) and ASEPUC conserve the patrimonial rights (copyright) of the published manuscripts, and favour and allow their reuse under the licence of use indicated in point 2.
2. The manuscripts are published in the electronic edition of the journal under an Attribution-NonCommercial-NoDerivatives 4.0 International licence. It allows to copy, distribute and include the article in a collective work (for example, an anthology), as long as there is no commercial purpose, the article is not altered or modified and the original work is properly cited. This journal is free of charge for the Open Access publication. ASEPUC and EDITUM finance the productiona and publication costs of the manuscripts.
3. Conditions for self-archiving. Authors are permitted and encouraged to electronically disseminate the published version of their works, as it favors their circulation and dissemination and thus a possible increase in their citation and reach among the academic community.

