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Title: The market impact of regulations on financial institutions
Author: Baestaens, Dirk-Emma
Awarding Body: University of Manchester
Current Institution: University of Manchester
Date of Award: 1990
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This study aims at establishing an ex ante view of the attributes and determinants of systemic instability occurring in an economic system. Any rational discussion of the phenomenon of instability which leads to an evaluation of possible stabilisation measures has as its starting point an objective and unambiguous framework for detecting the existence and severity of episodes of instability. The difficulty of discriminating between periods of high stress in which successful action was taken to abort the crisis and episodes in which no or unsuccessful action was taken implies researchers are left in the unsatisfactory position of evaluating the efficiency issue from the context of potential Type I Errors rather than from a framework encompassing Type II Errors. It is conjectured that an economy may be under strain when its variables take extreme joint states within a fitted static multivariate distribution. The Mahalanobis Distance was used as an empirical proxy for this concept of strain, and was compared with two univariate proxies and one multivariate substitute. Robust sets of Mahalanobis outliers were identified, suggesting the single-economy and multi-economy systems under study have undergone periods of strain in this empirical sense. The Mahalanobis distances were decomposed to show the structure of the disturbances that appear to have substantive meaning. The estimation of the frequency and intensity of shocks yielded some insights in the regulatory efficiency debate.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available