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Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries

Agnès Benassy-Quere () and Guillaume Roussellet ()

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Abstract: We provide a first attempt to include off-balance sheet, implicit inssurance 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: Systemic banking risk; off -balance sheet liabilities; Fiscal sustainability (search for similar items in EconPapers)
Date: 2012-03
Note: View the original document on HAL open archive server: https://hal-pse.archives-ouvertes.fr/hal-00962455
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Related works:
Journal Article: Fiscal sustainability in the presence of systemic banks: the case of EU countries (2014) Downloads
Working Paper: Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU countries (2014) Downloads
Working Paper: Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries (2013) Downloads
Working Paper: Fiscal Sustainability in the Presence of Systemic Banks: The Case of EU Countries (2012) Downloads
Working Paper: Fiscal sustainability in the presence of systemic banks: the case of EU countries (2012) Downloads
Working Paper: Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries (2012) Downloads
Working Paper: Fiscal Sustainability in the Presence of Systemic Banks: the Case of EU Countries (2012) Downloads
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