Open Access

Stress Testing of the Montenegrin Banking System with Aggregated and Bank-Specific Data

   | May 30, 2014

Cite

1. Alastair, R. (2009, March). Generalized Method of Moments. Retrieved March 2, 2013, from http://personalpages.manchester.ac.uk/staff/Alastair.Hall/HbkRM_GMM_111202.pdfSearch in Google Scholar

2. Angklomkliew, S., George, J., & Packer, F. (2009). Issues and developments in loan loss provisioning: the case of Asia. Retrieved February 20, 2013, from http://www.bis.org/publ/qtrpdf/r_qt0912h.pdf?noframes=1Search in Google Scholar

3. Balla, E., Rose, M., & Romero, J. (2012, March). Loan Loss Reserve Accounting and Bank Behaviour. Retrieved April 3, 2013, from http://www.richmondfed.org/publications/research/economic_brief/2012/pdf/eb_12-03.pdfSearch in Google Scholar

4. Baltagi, B. H. (2006). Panel Data Econometrics, Theoretical Contributions and Empirical Applications. Amsterdam: ELSEVIER.10.1016/S0573-8555(2006)274Search in Google Scholar

5. Bank of Japan. (2007, September). Financial System Report, Financial Analysis and Research. Retrieved March 8, 2013, from http://www.boj.or.jp/en/research/brp/fsr/fsr07b.htm/Search in Google Scholar

6. Basel Committee on Banking Supervision. (2005). Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework. Basel: Bank for International Settlements.Search in Google Scholar

7. Basel Committee on Banking Supervision. (2006). International Convergence of Capital Measurement and Capital Standards. Basel: Bank for International Settlements.Search in Google Scholar

8. Blascke, W., Jones, M. T., Majnoni, G., & Peria, S. M. (2001). Stress Testing of Financial Systems: An Overview of Issues, Methodologies, and FSAP Experiences. Retrieved March 16, 2013, from http://www.imf.org/external/pubs/ft/wp/2001/wp0188.pdfSearch in Google Scholar

9. Blundell, R., & Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87, 2-20.10.1016/S0304-4076(98)00009-8Search in Google Scholar

10. Borio, C., Drehmann, M., & Tsatsaronis, K. (2012, January). Stress testing macro stress testing: does it live up to the expectations?. Monetary and Economic Department, BIS Working papers No. 369. Retrieved March 13, 2013, from http://www.treasury.gov/initiatives/wsr/ofr/Documents/OFRBorioDrehmannTsatsaronis.pdfSearch in Google Scholar

11. Centralna banka Crne Gore [Central bank of Montenegro]. Retrieved May 7, 2013, from http://www.cbcg.meSearch in Google Scholar

12. Centralna banka Crne Gore - monetarna statistika [Central bank of Montenegro - monetary statistics]. Retrieved March 8, 2013, from http:// www.cb-mn.org/index.php?mn1=statistika&mn2=monetarna_statistikaSearch in Google Scholar

13. Chopra, G. (n.d.). Stress testing Financial Systems: A Macro Perspective. Retrieved May 16, 2013, from http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1529434Search in Google Scholar

14. Coletti, D., Lalonde R., Misina M., Muir D., St-Amant P., & Tessier, D. (2008). Bank of Canada Participation in the 2007 FSAP Macro Stress- Testing Exercise. Bank of Canada Financial System Review, pp. 51-59.Search in Google Scholar

15. Čihak, M. (2004). Stress Testing: A Review of Key Concepts, Czech National Bank Research Policy Note No. 2/2004. Retrieved May 7, 2013, from http:// www.cnb.cz/en/pdf/IRPN_2_2004.pdf.Search in Google Scholar

16. Čihak, M. (2007). Introduction to Applied Stress Testing. Retrieved April 25, 2013, from http://www.imf.org/external/pubs/ft/wp/2007/wp0759.pdfSearch in Google Scholar

17. Dechow, P. (1994). Accounting earnings and cash flows as measures of firm performance. Retrieved March 10, 2013, from http://econ.au.dk/fileadmin/Economics_Business/Education/Summer_University_2012/6308_Advanced_Financial_Accounting/Advanced_Financial_Accounting/2/Dechow_1994.pdf10.1016/0165-4101(94)90016-7Search in Google Scholar

18. Drehmann, M. (2008). Stress Tests: Objectives, Challenges and Modelling Choices. Economic Review. Retrieved March 1, 2013, from http://www.riksbank.se/Upload/Dokument_riksbank/Kat_publicerat/Artiklar_PV/2008/drehmann2008_2_eng_ny.pdfSearch in Google Scholar

19. Drehmann, M. (2009). Macroeconomic stress-testing banks: a survey of methodologies. In M. Quagliariello (Eds.), Stress-testing the Banking System: Methodologies and Applications (pp. 37-67). New York: Cambridge University Press.Search in Google Scholar

20. Eklund, T., Larsen K., & Bernhardsen, E. (2001). Model for analysing credit risk in the enterprise sector. Economic Bulletin 72(3), pp. 99-106.Search in Google Scholar

21. Engelmann, B., & Rauhmeier, R. (Eds.) (2006). The Basel II Risk Parameters, Estimation, Validation and Stress testing. Retrieved Fabruary 16, 2013, from http://d.yimg.com/kq/groups/12093474/1121755262/name/The+Basel+II+Risk+Parameters.pdfSearch in Google Scholar

22. Espinoza, R., & Prasad, A. (2010, October). Nonperforming Loans in the GCC Banking System and their Macroeconomic Effects. Retrieved May 26, 2013, from http://www.imf.org/external/pubs/ft/wp/2010/wp10224.pdf10.2139/ssrn.1750712Search in Google Scholar

23. European Banking Authority. (2011a). 2011 EU-wide stress test aggregate report. Retrieved May 2, 2013, from http://hofinet.org/documents/doc.aspx?id=613Search in Google Scholar

24. European Banking Authority. (2011b). 2011 EU-wide Stress Test: Methodological Note - Additional Guidance. London: European Banking AuthoritySearch in Google Scholar

25. European Banking Authority. (2012). 2013 ANNUAL REPORT. Luxembourg: Publications Office of the European Union Search in Google Scholar

26. European Central Bank. (2006). Financial Stability Review. Frankfurt: European Central Bank.Search in Google Scholar

27. European Central Bank. (2008). “Financial stability challenges in EU candidate countries: Managing the transition to deeper and more marketoriented financial systems”. Occasional Paper Series (No. 95, 2008). Frankfurt: European Central BankSearch in Google Scholar

28. European Central Bank. (2012). Occasional Paper Series (No. 136, 2012). European Central Bank. Retrieved on February 13, 2013, from http://www.ecb.europa.eu/pub/pdf/scpops/ecbocp136.pdfSearch in Google Scholar

29. Foglia, A. (2009). Stress Testing Credit Risk: A Survey of Authorities’ Approaches, Banking and Financial Supervision. Rome: Bank of Italy.Search in Google Scholar

30. Greene, W. (2012). Econometric Analysis. Cambridge: Pearson Education.Search in Google Scholar

31. Hoggarth, G., Sorensen, S., & Zicchino, L. (2005). Stress tests of UK banks using a VAR approach. Retrieved February 2, 2013, from http://www.bankofengland.co.uk/publications/Documents/workingpapers/wp282.pdf10.2139/ssrn.872693Search in Google Scholar

32. Hayakawa, K. (2009, August). First Difference or Forward Orthogonal Deviation - Which Transformation Should be Used in Dynamic Panel Data Models?: A Simulation Study. Economics Bulletin, 29(3), 2008-2017.Search in Google Scholar

33. Holtz-Eakin, D., Newey, W., & Rosen, H. S. (1988, November). Estimating Vector Autoregressions with Panel Data. Econometrica, 56(6), 1371-1395.10.2307/1913103Search in Google Scholar

34. International Monetary Fund. (2010). Montenegro: 2010 Article IV Consultation - Staff Report; Public Information Notice on the Executive Board Discussion; and Statement by the Executive Director for Montenegro. Washington D.C.: IMF.Search in Google Scholar

35. Kratzig, M., & Lutkepohl, H. (2004). Applied Time Series Econometrics. Cambridge: Cambridge University Press.Search in Google Scholar

36. Laeven, L., & Majnoni, G. (2002). Loan Loss Provisioning and Economic Slowdowns: Too Much, Too Late?. Retrieved February 3, 2013, from http:// www.bostonfed.org/bankinfo/conevent/slowdown/laeven_majnoni.pdfSearch in Google Scholar

37. Lehmann, H., & Manz, M. (2006, April). The exposure of Swiss Banks to Macroeconomic Shocks - an Empirical Investigation. Retrieved February 20, 2013, from http://www.snb.ch/n/mmr/reference/working_paper_2006_04/sourceSearch in Google Scholar

38. Louzis D., Vouldis A., & Metaxas, V. (2011). Macroeconomic and bankspecific determinants of non-performing loans in Greece: A comparative study of mortgage, business and consumer loan portfolios. Retrieved March 14, 2013, from http://www.journals.elsevier.com/journal-of-banking-andfinanceSearch in Google Scholar

39. Love, I., & Zicchino, L. (2002, October 31). Financial Development and Dynamic Investment Behavior. Retrieved April 22, 2013, from http://wwwwds.worldbank.org/servlet/WDSContentServer/WDSP/IB/2002/11/11/000094946_02102904035126/Rendered/PDF/multi0page.pdfSearch in Google Scholar

40. Lutkepohl, H., & Kratzig, M. (2004). Applied Time Series Econometrics., Cambridge: Cambridge University Press.10.1017/CBO9780511606885Search in Google Scholar

41. Lutkepohl, H., & Kratzig, M. (2006). Initial Analysis in JMulTi. Retrieved March 16, 2013, from http://www.jmulti.de/download/help/initanal.pdfSearch in Google Scholar

42. Lutkepohl, H., Kratzig, M., & Boreiko, D. (2006). VAR Analysis in JMulTi. Retrieved March 15, 2013, from http://www.jmulti.de/download/help/var.pdfSearch in Google Scholar

43. Marcucci, M., & Quagliarello, M. (2006). Credit Risk and Business Cycle over Different Regimes. Retrieved April 10, 2013, from http://www.cide.info/conf/papers/m20.pdfSearch in Google Scholar

44. Ng, J., & Roychowdhury, S. (2010, July 16). Loan Loss Reserves, Regulatory Capital, and Bank Failures: Evidence from the 2008-2009 Economic Crisis. Retrieved April 16, 2013, from http://www.lse.ac.uk/accounting/news/MAFG/RoychowdhuryMAFGpaper2011.pdfSearch in Google Scholar

45. Oesterreichische Nationalbank. (2006, March). Risk Assessment and Stress Testing for Austrian Banking System. Retrieved April 23, 2013, from http:// www.gwu.edu/~gefri/PDF/SrmModelBook.pdfSearch in Google Scholar

46. Pesaran, H. M., Schuermann, T., Treutler, B. J., & Weiner, S. M. (2005). Macroeconomic Dynamics and Credit Risk: A Global Perspective. Retrieved April 20, 2013, from http://fic.wharton.upenn.edu/fic/papers/03/0313.pdfSearch in Google Scholar

47. Quagliariello, M. (2009). Macroeconomic stress-testing: definitions and main components. In M. Quagliariello (Eds.), Stress-testing the Banking System: Methodologies and Applications. (pp. 18-35). New York: Cambridge University Press.Search in Google Scholar

48. Schinasi, G. (2004, October). Defining financial stability. Retrieved March 10, 2013 from http://cdi.mecon.gov.ar/biblio/docelec/fmi/wp/wp04187.pdf10.2139/ssrn.879012Search in Google Scholar

49. Stock, J., & Watson, M. (2012) Introduction to Econometrics. Boston: Pearson Education.Search in Google Scholar

50. Trapanese, M. (2009). A framework for assessing financial stability. In M. Quagliariello (Eds.), Stress-testing the Banking System (pp. 7-17). New York: Cambridge University Press.Search in Google Scholar

51. Vukelić, T. (2011, May 20). Stress Testing of the Banking Sector in Emerging Markets: A Case of the selected Balkan Countries. Retrieved February 10, 2013, ies.fsv.cuni.cz/default/file/download/id/17084Search in Google Scholar

52. Wooldridge, J. M. (2002). Econometric Analysis of Cross Section and Panel data. Cambridge: The MIT Press.Search in Google Scholar

53. World Bank. (2011). Montenegro - Programmatic Financial Sector Development Policy Loan Program. Washington D. C.: World Bank Search in Google Scholar

eISSN:
2336-9205
Language:
English
Publication timeframe:
3 times per year
Journal Subjects:
Business and Economics, Business Management, other