კონფერენცია

∘ Dali Magrakvelidze ∘
MACROECONOMIC RISKS OF CREDIT SYSTEMS AND ITS ESTIMATION MODELS

Summary

The mechanism of macroprudential analyzes involves the development and use of various indications, which are based on aggregated indicators received from central banks or supervisory bodies, as well as on macroeconomic and financial indicators, which characterize sustainability of banking castor.

It is necessary to apply modern models of the financial crisis for the analysis of macroeconomic risks in banking activities due to the limitations of the currently obtained results ofmacroprudential indicators.

The definition of currency and banking crises was founded by Franklin and Roose, and Demiriguk-Kunt and Deragich. Franklin and Roose proposed to understand 25% nominal devalvation of national currency as the crisis of currency that had been accompanied by a 10% increase in the rate of impairment rate during past five years.

According to the research done by Demiriguek-Kunt and Demagich, the situation in the banking system can be assessed as a crisis, if one of the following conditions is fulfilled: 1. The share of non-working assets in the total volume of assets exceeds 10%; 2. Cost on banking system recovery exceeds 2% of the gross domestic product (GDP); 3. Problems in banking sector lead to nationalization of main part of banking sector (more then 10%); 4. There is a mass withdrawal of deposits or a restriction on their payments("bank holidays“).

Ivane Javakhishvili Tbilisi State University Paata Gugushvili Institute of Economics International Scientific C O N F E R E N C E S "ECONOMY – XXI CENTURY"

E ISSN 2587 - 4691	∘ Dali Magrakvelidze ∘ MACROECONOMIC RISKS OF CREDIT SYSTEMS AND ITS ESTIMATION MODELS Summary The mechanism of macroprudential analyzes involves the development and use of various indications, which are based on aggregated indicators received from central banks or supervisory bodies, as well as on macroeconomic and financial indicators, which characterize sustainability of banking castor. It is necessary to apply modern models of the financial crisis for the analysis of macroeconomic risks in banking activities due to the limitations of the currently obtained results ofmacroprudential indicators. The definition of currency and banking crises was founded by Franklin and Roose, and Demiriguk-Kunt and Deragich. Franklin and Roose proposed to understand 25% nominal devalvation of national currency as the crisis of currency that had been accompanied by a 10% increase in the rate of impairment rate during past five years. According to the research done by Demiriguek-Kunt and Demagich, the situation in the banking system can be assessed as a crisis, if one of the following conditions is fulfilled: 1. The share of non-working assets in the total volume of assets exceeds 10%; 2. Cost on banking system recovery exceeds 2% of the gross domestic product (GDP); 3. Problems in banking sector lead to nationalization of main part of banking sector (more then 10%); 4. There is a mass withdrawal of deposits or a restriction on their payments("bank holidays“).