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Modeling the stability dynamics of Ukrainian banking system

20 citations0/0 files storedBanks and Bank Systems

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Banking stability, regulation, efficiency Monetary Policy and Economic Impact Banking, Crisis Management, COVID-19 Impact

Abstract

The article is stressed on the stability indicator of the banking system as binary variable, which takes a single value in unstable condition and non-zero value otherwise. It is offered to explore stability dynamics of Ukrainian banking system as time series, suggested to perform stability indicator on the basis of stationary time series verification by adaptation of the Forster-Stewart method to the peculiarities of the research subject. In the article it is relevant to identify the main factors of stability indicator formation, realize decomposition of a system - forming components of the variable to be explained on the base of autoregression trend-seasonal additive or multiplicative models.

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References

1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1986Generalized autoregressive conditional heteroskedasticity 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods 1990Econometric Models and Economic Forecasts 1981Estimation of Dynamic Models with Error Components 2010Spurious Regression in Econometrics 1991Anatomy of a Financial Crisis 2002Banking Panics: The Role of the First-Come, First-Served Rule and Information Externalities

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