Similar results are seen in a regressive model of the influence of these
independents on the Composite Indicator of Systemic Stress (CISS), which measures
the level of tension in the financial system and represents a comprehensive quantitative
assessment of its state: СISS = 1,409 X
1
- 0,975 X
2
+ 0,337 X
3
+ 1,153 X
4
. The model
is significant: R
2
= 0,645; statistical significance is confirmed by X
1
and X
4
(coefficients of t-statistic X
1
and X
4
exceed the t-criterion); Fischer's coefficient is 3.49;
the probability of zero values of the coefficients X
1
and X
4
is 5%; X
2
and X
3
are 10%;
no autocorrelation (Darbin-Watson coefficient is 1.640).
Regression analysis shows a statistically significant relation between GDP per
capita and selected independent variables. The most influencial independent variable
is government debt, the growth of which leads to an increase of country’s level of
financial stress. The second and third most influential indicators are ECB's interest rate
and inflation, respectively, with a direct dependence on GDP per capita: with their
growth, CISS increases. As for the budget deficit, there is a reverse dependence: its
growth led to the improvement of financial stress index, though in observed period the
deficit did not exceed 3% but in the post-crisis years.
In recent years the stability of national banking systems has become greatly
important in context of development of the world economy. This feature of the banking
system forms and maintains the basic level of trust among the population as its main
investor of savings, trust among economic entities in each other as contractors of
financial and business operations, trust in the state, etc.
One of the most common approaches to assessing the financial stability of the
country's banking system, which is used by the World Bank and IMF experts, is the Z-
score financial stability indicator. The methodology of this indicator involves assessing
the probability of insolvency of the banking system of the country, that is, the
probability that the value of assets of banks will be lower than the cost of obligations.
The higher (lower) the value of the Z-score indicator, the lower (higher) is the level of
probability of the insolvency of the banking system and, consequently, the higher
(lower) level of its financial stability [9].
- 106 -