Емпириски анализи за финансиската стабилност за земјите на Централна и на Југоисточна Европа

Abstract

Financial systems accumulate risks in stable periods (favorable macroeconomic environment, low uncertainty and low business risk), periods with high credit growth rates and low-price variability. As a result of negative shocks in the macroeconomic environment and unsustainability of the risk exposure , the risks materialize. In order to identify periods of financial fragility, to anticipate potential shocks, determinants that affect financial stability and the resilience of financial system to shocks, central banks use different tools to manage financial stability. In the dissertation, the author prepares three models for measuring financial stability, early diagnosis of financial fragility, identifying determinants of the probability of financial fragility in the CEE and SEE countries and an empirical model for stress test and the resilience of shocks to individual insurance companies and the total insurance system in Macedonia for the period from 2002 to 2012. The main conclusion is that analyzing multiple signals simultaneously, and embedding in advanced models that measure different conditions in the financial system and in the economy are a more comprehensive tool than using standalone indicators. The results suggest that increased private credit / GDP and housing prices in the past year increases the probability of medium financial fragility. Negative deviation of foreign capital in the bank ownership structure increases the probability of low magnitude fragility. At the same time, negative deviation of the net inflow FDI/GDP increases the probability of medium magnitude financial fragility. The results of stress simulations indicate that Macedonian insurance sector remains robust even at extreme shocks. The risk value ranges between a minimum of 71.4% in the baseline to a maximum of 98.7% in the extreme scenario, not exceeding the critical threshold of 100%. However, the stress tests of individual companies find that one out of eleven companies fails the stress test, the value at risk being 50% over the critical threshold of solvency in the strongest scenario.