April 9, 2018

Systemic Risk Indicators and Financial Crises

Interbank linkages at the national and the international level can represent a source of systemic risk and impose a threat to international financial stability. In recent years, reseachers have been increasingly interested in understanding the process behind the buildup of systemic risk and how this phenomenon can trigger financial crises. This interest has prompted the construction of new datasets providing tools to explore the link between systemic risk and financial crises.

Links to data sources

 

Systemic Banking Crises Database (Laeven and Valencia)

Provides data on banking crises, currency crises and sovereign debt crises. Drawing on 151 systemic banking crises episodes around the globe during 1970-2017, the database includes information on crisis dates, policy responses to resolve banking crises, and the fiscal and output costs of crises. Data are available on country-level data and cover the world.
Data Provider: Laeven and Valencia
Level/Frequency: Country-Level Data
Geographic Coverage: World
Time Range: 1970 – 2017
Availability: Free access online
Where has it been used? Laeven, L., and F. Valencia (2013). Systemic Banking Crises Database. IMF Economic Review 61(2): 225–270.

 

ESRB: European financial crises database

The database on financial crises in European countries is an important step towards establishing common ground for macroprudential oversight and policymaking in the EU.
The database provides precise chronological definitions of crisis periods to support the calibration of models in macroprudential analysis. It identifies financial crises by combining a quantitative approach based on a financial stress index with expert judgement from national and European authorities.
The database will allow researchers to look at the different dimensions of crises and draw relevant implications for macroprudential analysis and policy.
The crises database will be updated on a regular basis.
Data Provider: ESRB
Level/Frequency: Country-Level Data
Geographic Coverage: EU
Time Range: 1970-2017
Availability: Free access online

 

Global Debt Database

The Global Debt Database is a new dataset that takes a fundamentally different approach to compiling historical debt data to solve the dilemma between length and exhaustibility faced by existing datasets. The GDD is the result of a multiyear investigative process and an extensive standardization effort to produce consistent time series of debt, the genesis of which was the October 2016 Fiscal Monitor (FM2016). It covers the debt of the nonfinancial sector—both private and public—for virtually the entire world (190 countries) dating back to the 1950s.
Data Provider: JIMF
Level/Frequency: Country-Level Data
Geographic Coverage: 190 countries
Time Range: 1950-2016
Availability: Free access online

 

A new Debt restructuring Archive: Computing Haircuts

Provides information on 187 sovereign debt restructurings in 68 countries exploiting more than 200 sources, including the IMF archives, books, policy reports, offering memoranda, private sector research and articles in the financial press. Haircuts are computed based on the difference between the present values of old and new instruments, discounted at market rates prevailing immediately after the exchange.
Data Provider: Juan Cruces and Christoph Trebesch
Level/Frequency: Country-Level Data
Geographic Coverage: 86 countries
Time Range: 1970-2013
Availability: Free access online
Where has it been used? Juan Cruces and Christoph Trebesch (2012). Sovereign Defaults: The Price of Haircuts. American Economic Journal: Macroeconomics 5(3): 85-117.

 

European Financial Stability Facility (EFSF)

Provides information on lending operations related to EFSF, in particular on financial assistance facility of Greece, Irland and Portugal.
Data Provider: European Financial Stability Facility
Level/Frequency: Country-Level Data
Geographic Coverage: Europe
Time Range: 2011-2017
Availability: Free access online

 

European Stability Mechanism (ESM)

Provides information on lending operations related to ESM, in particular on financial assistance facility of Greece, Cyprus and Spain.
Data Provider: European Stability Mechanism
Level/Frequency: Country-Level Data
Geographic Coverage: Europe
Time Range: 2012-2017
Availability: Free access online

 

Financial Assistance (European Commission)

Provides information on financial assistances and lending operations related to EFSM&EFSF and ESM, balance of payments assistance programme as well as PPS.
Data Provider: European Commission
Level/Frequency: Country-Level Data
Geographic Coverage: Europe
Time Range: 2009-2017
Availability: Free access online

 

Financial Crises (Reinhart and Rogoff)

Provides definitions and data on banking crises, currency crises, inflation crises, sovereign debt crises (domestic or external default or restructuring), and stock market crashes for 70 countries. If applicable, it also provides data on the year of independence.
Data Provider: Reinhart and Rogoff
Level/Frequency: Country-Level Data
Geographic Coverage: World
Time Range: 1800-2010
Availability: Free access online
Where has it been used? Reinhart, C. M., and K. S.Rogloff (2009). This Time is Different: Six Centuries of Financial Folly. Princeton University Press, Princeton.

 

Financial Crises (Schularick and Taylor)

Provides information on money, credit, and also on macroeconomic indicators. Dataset is available for 14 countries for the period of 1870 – 2008. Compared to other datasets it is available for a much longer time period, what is an advantage of this dataset. However, it is only available for a small set of countries.
Data Provider: Schularick and Taylor
Level/Frequency: Country-Level Data
Geographic Coverage: 14 countries
Time Range: 1870-2008
Availability: Free access online
Where has it been used? Schularick, M., and A. M. Taylor (2012). Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870-2008. American Economic Review 102(2): 1029-1061.

 

IMF Financial Data Query Tool

Database which provides Cross-country historical financial data since 1984, including IMF members’ quota, reserve tranche position, SDR holdings, outstanding credit, projected payments due to the IMF, members’ arrangements and IMF’s borrowings, and monthly historical transactions with the IMF.
Data Provider: International Monetary Fund
Level/Frequency: Country-Level Data
Geographic Coverage: World
Time Range: 1984-2017
Availability: Free access online

 

Resilience to Financial Instability

The data set reports, for 46 economies around the globe, an index of the capacity to deploy macroprudential policies.
Data Provider: Collected from public sources by Domenico Lombardi, Pierre L. Siklos
Level/Frequency: Country-Level Data
Geographic Coverage: World
Time Range: mid-2014 – early 2015
Availability: Free access online
Where has it been used? Domenico Lombardi, Pierre L. Siklos (2016). Benchmarking macroprudential policies: An initial assessment. Journal of Financial Stability Volume 27: 35-49

 

Systemic Risk Indicators (ESRB)

Provides aggregated data on a daily basis on systemic risk for the EU and Euro Zone. Contains e.g. an indicator for the simultaneous default of two or more large banks.
Data Provider: ESRB
Level/Frequency: Country-Level Data / Daily
Geographic Coverage: Euro Zone (European Union)
Time Range: 08.01.1999 – 2017 (regularly updated)
Availability: Free access online
Where has it been used? Acharya, V., L. Pedersen, T. Philippon, and M. Richardson (2012). Measuring Systemic Risk. CEPR Discussion Paper DP8824.

 

Systemic Risk Indicators (NYU Lab)

Provides data on systemic risk on country (respectively region) level as well as on bank level. The country (respectively region)-level data on systematic risk are not available in a detailed table, but rather in a graphic. For individual banks the data base provides detailed data on a daily basis, which are not downloadable in a statistical series.
Data Provider: NYU Lab
Level/Frequency: Country-Level Data / Bank-Level Data
Geographic Coverage: World
Time Range: 2000 – 2017 (regularly updated)
Availability: Free access online
Where has it been used? Acharya, V., L. Pedersen, T. Philippon, and M. Richardson (2012). Measuring Systemic Risk. CEPR Discussion Paper DP8824.