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, researchers 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

Market Conditions Indicators (MCIs)

The MCIs are constructed in two steps. First, for each of the three markets (the US Treasury and US money markets, and the foreign exchange market centred around the US dollar), variables capturing volatility, market (il-)liquidity and funding (il-)liquidity as well as impaired market-making more broadly are collected. We aim to strike a balance between the coverage of different aspects of market conditions and availability of a reasonably lengthy daily time series. Guided by this trade-off, the analysis is started in 2003. In the second step, market-specific composite indicators are build. They express all variables so that higher values indicate worse market conditions and use principal component analysis (PCA) to extract a common factor from them. The MCI for each market is defined as the first principal component, ie the linear combination of the underlying series that captures most of their variability. For ease of interpretation, they normalise the MCIs to have zero mean and unit standard deviation.

Data Provider: Inaki Aldasoro, Peter Hördahl and Sonya Zhu
Level/Frequency: Country-level, daily
Geographic Coverage: United States
Time Range: since 2003 (monthly updated)
Availability: Free access online
Where has it been used? Aldasoro, I., P. Hördahl, and S. Zhu (2022). Under pressure: market conditions and stress. BIS Quarterly Review.

Global Debt Database (GDD)

The Global Debt Database (GDD) is the result of a multiyear investigative process that started with the October 2016 Fiscal Monitor. The dataset comprises total gross debt of the (private and public) nonfinancial sector for an unbalanced panel of 190 advanced economies, emerging market economies and low-income countries, dating back to 1950. For more details on the methodology and definitions, please see the Mbaye, Moreno Badia and Chae (2018).
Data Provider: International Monetary Fund (IMF)
Level/Frequency: Country-level data/Yearly
Time Range: 1950 – 2021
Availability: Free access online

Banking-Crisis Intervention Database (Metrick and Schmelzing)

Provides data on banking-crisis interventions in 20 categories across 138 countries since the 13th century. The dataset covers 1886 interventions throughout all the major financial crises and interventions occurring outside of those crises.
Data Provider: Andrew Metrick and Paul Schmelzing
Level/Frequency: Country-Level Data
Geographic Coverage: 138 countries
Time Range: 1257-2019
Availability: Free access online
Where has it been used? Metrick, A., and P. Schmelzing (2021). Banking-Crisis Interventions, 1257-2019, NBER Working Paper No. 29281.

Speeches Dataset (European Central Bank)

To assist researchers in the field of central bank communication, this dataset contains the content of all speeches together with limited metadata. By offering this data the ECB hopes to foster natural language processing research on the impact of these speeches on the market and beyond.  The dataset is currently updated every two months.
Data Provider: European Central Bank
Coverage: ECB and earlier European Monetary Institute.
Time Range: 1997 – 2019
Availability: Free access online

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 (2020). Systemic Banking Crises Database: A Timely Update in COVID-19 Times (CEPR Discussion Paper No. 14569)

A Journey in the History of Sovereign Defaults on Domestic-Law Public Debt

The database documents domestic law defaults, their timing, size, and the details of the restructuring terms. In 52 countries, 76 sovereign default and restructuring episodes were identified, consisting of 134 default events on different instruments (bonds, bank loans or deposits). The time period covered by the sample is 1980 to 2018 and includes events from all five continents. 

Data Provider: Aitor Erce, Enrico Mallucci and Mattia Picarelli
Level/Frequency: Country-Level Data
Geographic Coverage: World
Time Range: 1980 – 2018
Availability: Free access online
Where has it been used? Erce, A., E. Mallucci and M. Picarelli (2022). “A Journey in the History of Sovereign Defaults on Domestic-Law Public Debt,” International Finance Discussion Papers 1338. Washington: Board of Governors of the Federal Reserve System, https://doi.org/10.17016/IFDP.2022.1338.

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

EBA: EU-wide stress test exercise

The European Banking Authority (EBA) released the findings of its EU-wide stress test for 2021, which includes 50 banks from 15 EU and EEA countries and coveres 70% of EU banking assets. The purpose of these tests is to examine EU bank resilience to adverse market events over a three-year horizon  and to contribute to the overall evaluation of systemic risk in the EU financial system.
Data Provider: EBA
Level/Frequency:  Country-Level Data / Bank-Level Data
Geographic Coverage: EU
Time Range: 2009-2021
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: IMF
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.

China debt stock dataset

Provides data on external debt owed to China from direct loans, covering 106 countries from the early 2000s onwards.
Data Provider: Sebastian Horn, Carmen Reinhart and Christoph Trebesch
Level/Frequency: Country-Level Data
Geographic Coverage: 106 countries
Time Range: 2000-2017
Availability: Free access online
Where has it been used? Sebastian Horn, Carmen M. Reinhart, and  Christoph Trebesch (2019). China’s Overseas Lending. NBER Working Paper No. 26050.

OECD Public Finance Dataset

Provides detailed data on government revenues and spending. Expenditures are categorized according to their use, including (but not limited to) health, education, wages and consumption, subsidies, or investment.  Likewise, revenues are classified according to their source, e.g. as income or property taxes, social security contributions or sales of goods and services. Also included are general macroeconomics indicators such as GDP or demographic data.
Data Provider: OECD
Level/Frequency: Country-Level Data
Geographic Coverage: OECD Countries
Time Range: 1945-2019
Availability: Free access online
Where has it been used? Bloch, D., et al. (2016). Trends in Public Finance: Insights from a New Detailed Dataset. OECD Economics Department Working Papers, No. 1345, OECD Publishing, Paris.

European Stability Mechanism (ESM)

Provides information on lending operations related to ESM/EFSF, in particular on financial assistance facility of Greece, Cyprus, Portugal, Ireland and Spain.
Data Provider: European Stability Mechanism
Level/Frequency: Country-Level Data, Annually
Geographic Coverage: Europe
Time Range: since 2012
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: since 1984, regularly updated
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: since 08.01.1999, 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: since 2000, 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.

Government Interventions in the European Banking Sector 

Provides data on all government interventions for Eurozone banks over the 2007 to 2018 period. More specifically, it contains information concerning the kind, depth, and scope of interventions, as well as key dates and actors involved.
Data Provider: V. Acharya, L. Borchert, M. Jager, and S. Steffen
Level/Frequency: Bank-Level Data
Geographic Coverage: Eurozone
Time Range: 2007-2018
Availability: Free access online
Where has it been used? Acharya, V. V., Steffen, S., & Steinruecke, L. (2018). Kicking the can down the road: government interventions in the European banking sector. Available at SSRN 3253517.

The Dynamics of Non-Performing Loans during Banking Crises

Provides information on non-performing loans (NPLs) during 88 banking crises since 1990. Data are compiled from many different sources, including the World Bank’s Global Financial Development Database, the IMF’s Financial Soundness Indicators and staff reports, and various national accounts.
Data Provider: Anil Ari, Sophia Chen and Lev Ratnovski
Level/Frequency: Country/Year
Geographic Coverage:  78 countries
Time Range: 1990 – 2017
Availability: Free access online
Where has it been used? Ari,  A., Chen, S.,  and Ratnovski, L. (2019). The  dynamics  of  non-performing  loans  during banking crises: a new database. IMF Working Paper 19/272.

Policy risk

Presents a new measure of adverse geopolitical events based on a tally of newspaper articles covering geopolitical tensions, and examine its evolution and economic effects since 1900. The geopolitical risk (GPR) index spikes around the two world wars, at the beginning of the Korean War, during the Cuban Missile Crisis, and after 9/11.
Data Provider: Dario Caldara and Matteo Iacoviello
Level/Frequency: Country/Year
Geographic Coverage:  39 countries
Time Range: since 1900, regularly updated
Availability: Free access online
Where has it been used? Caldara, D., and Iacoviello, M. (2021). Measuring Geopolitical Risk. Working Paper, Board of Governors of the Federal Reserve.

Insights into Credit Loss Rates: A Global Database

Credit risk has played a significant role as a catalyst or key factor in many financial crises, including the great financial crisis. More recently, the COVID-19 pandemic highlighted the importance of potential bank credit losses to the private sector. However, there remains a significant gap in terms of reliable economy-level credit risk data for financial stability analysis, given that such information is not publicly available in any systematic manner. We discuss the various credit loss concepts and estimate a time series database of actual as well as forward-looking market- and macro-implied credit loss rates for the majority of jurisdictions around the world, intended as a public good that is freely accessible.

Data Provider: AMRO
Level/Frequency: Country/ yearly
Geographic Coverage:  global
Time Range: 2001-2028
Availability: Free access online here.
Where has it been used? Ong, L. L., Schmieder, C., Wei, M. (2023) Insights into Credit Loss Rates: A Global Database. SUERF Policy Brief, No 620.

Banking Crises without Panics (Replication Data)

The data and programs replicate tables and figures from “Banking Crises without Panics”, by Baron, Verner, and Xiong, who examine historical banking crises through the lens of bank equity declines, which cover a broad sample of episodes of banking distress with and without banking panics. To do this, they construct a new data set on bank equity returns and narrative information on banking panics for 46 countries over the period of 1870 to 2016. They find that even in the absence of panics, large bank equity declines are associated with substantial credit contractions and output gaps. Although panics are an important amplification mechanism, our results indicate that panics are not necessary for banking crises to have severe economic consequences. Furthermore, panics tend to be preceded by large bank equity declines, suggesting that panics are the result, rather than the cause, of earlier bank losses. They use bank equity returns to uncover a number of forgotten historical banking crises and create a banking crisis chronology that distinguishes between bank equity losses and panics.

Data Provider: Matthew Baron, Emil Verner, Wei Xiong
Level/Frequency: Country-level / monthly and annual data
Geographic Coverage:  46 countries
Time Range: 1870 to 2016
Availability: Publicly available here.
Where has it been used? Matthew Baron, Emil Verner, Wei Xiong (2021) Banking Crises Without Panics, The Quarterly Journal of Economics, Volume 136, Issue 1, Pages 51–113, https://doi.org/10.1093/qje/qjaa034