Pei-Ling Lee; Chun Teck Lye; Lee, Chin - In: Central Bank review / Central Bank of the Republic of Turkey 22 (2022) 3, pp. 109-117
The paper aims to analyze the effect of bank risk appetite on banks' default probabilities during the year of COVID-19 in 12 countries while controlling for bank-specific and country-specific effects over time. A System Generalized Methods of Moments (GMM) model of default probabilities is...