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Wskaźniki wczesnego ostrzegania przed niestabilnością finansową polskiego sektora bankowego

Author

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  • Marcin Łupiński

    (Lazarski University, Faculty of Economics and Management; National Bank of Poland)

Abstract

W artykule została zaprezentowana sformalizowana procedura wyboru wskaźników wczesnego ostrzegania (WWO) przed niestabilnością finansową krajowego sektora bankowego. Zaproponowane podejście składa się z dwóch etapów. W ramach pierwszego z nich zbiór mikroostrożnościowych szeregów czasowych (obejmujących zebrane w latach 2007–2018 miary adekwatności kapitałowej, ryzyka kredytowego, koncentracji, ryzyka rynkowego i zyskowności) opisujących kondycję finansową grupy największych polskich banków został wykorzystany do określenia prawdopodobieństw ich niewypłacalności. Miary niewypłacalności wspomnianych instytucji finansowych następnie wykorzystano do opracowania indywidualnych wskaźników stabilności. Finalnie przedmiotowe wskaźniki stabilności posłużyły do wyboru z grupy potencjalnych szeregów czasowych (należących do obszaru zmiennych makroekonomicznych, miar charakteryzujących krajowy sektor finansowy i stopień jego powiązania ze światowym systemem finansowym, a także wskaźników cen nieruchomości mieszkaniowych i komercyjnych) wskaźników wczesnego ostrzegania przed niestabilnością finansową polskiego sektora bankowego. Selekcja WWO została dokonana na podstawie wyników estymacji modelu regresji panelowej. Jakość wyprzedzających miar niestabilności (w relacji do referencyjnego wskaźnika luki kredytu w relacji do PKB) zweryfikowano za pomocą statystyki opartej na wielkości pola pod krzywą ROC (AUROC), co pozwoliło ustalić, że jako najbardziej efektywne można traktować wskaźniki luki kredytu udzielonego przez banki w relacji do PKB (wskaźnik odzwierciedlający cykl finansowy) oraz spread stopy zwrotu z 10?letnich obligacji rządowych i stopy WIBOR 3M (wskaźnik ryzyka płynności i ryzyka stopy procentowej). Zgodnie z wiedzą autora, przeprowadzona na potrzeby niniejszego artykułu analiza jest pierwszym badaniem, w ramach którego dla krajowego sektora bankowego opracowano dwuetapową procedurę selekcji makroostrożnościowych wskaźników wczesnego ostrzegania za pomocą modeli panelowej regresji wykorzystujących mikroostrożnościowe wskaźniki stabilności finansowej indywidualnych banków.

Suggested Citation

  • Marcin Łupiński, 2019. "Wskaźniki wczesnego ostrzegania przed niestabilnością finansową polskiego sektora bankowego," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 55, pages 99-113.
    • Handle: RePEc:sgh:annals:i:55:y:2019:p:99-113
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