Fiscal sustainability in the presence of systemic banks: the case of EU countries

Agnès Benassy-Quere and Guillaume Roussellet

Working Papers from CEPII research center

Abstract: We provide a first attempt to include off-balance sheet, implicit insurance to SIFIs into a consistent assessment of fiscal sustainability, for 27 countries of the European Union. We first calculate tax gaps à la Blanchard (1990) and Blanchard et al. (1990). We then introduce two alternative measures of implicit off-balance sheet liabilities related to the risk of a systemic bank crisis. The first one relies of microeconomic data at the bank level. The second one relies on econometric estimations of the probability and the cost of a systemic banking crisis, based on historical data. The former approach tends to maximize the fiscal cost of systemic banking crises, whereas the latter one tends to minimize it. Hence we believe that the combined use of these two methodologies helps to gauge the range of fiscal risk.

Keywords: Fiscal sustainability; systemic banking risk; off-balance sheet liabilities (search for similar items in EconPapers)
JEL-codes: H21 H23 J41 (search for similar items in EconPapers)
Date: 2012-03
New Economics Papers: this item is included in nep-ban and nep-eec
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Fiscal sustainability in the presence of systemic banks: the case of EU countries (2014)
Working Paper: Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU countries (2014)
Working Paper: Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU countries (2014)
Working Paper: Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries (2013)
Working Paper: Fiscal Sustainability in the Presence of Systemic Banks: The Case of EU Countries (2012)
Working Paper: Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries (2012)
Working Paper: Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries (2012)
Working Paper: Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries (2012)
Working Paper: Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries (2012)
Working Paper: Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries (2012)
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