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An Empirical Application of the Financial Fragility Hypothesis Based on Data from the Netherlands

Student: Yuliana Kovezina

Supervisor: Ivan V. Rozmainsky

Faculty: St.Petersburg School of Economics and Management

Educational Programme: Finance (Master)

Final Grade: 7

Year of Graduation: 2021

This Master Thesis conducts an empirical analysis of the financial fragility hypothesis on Dutch data. The main literature on this topic has been reviewed and five financial fragility indices made by different authors (Davis, Mulligan, Filho, Rozmainsky and Nishi) have been selected to determine whether Dutch firms are in a hedge, speculative or Ponzi regime. To do it, 340 public Dutch firms from various industries were selected for this analysis, these panel data include observations over 15 years: from 2005 to 2019. They include three crises of the Dutch economy: 2008-2009, 2011 and 2014. After identifying the regime of firms according to the different indices, we chose the Nisha index to make a logistic regression. We used it to determine what affects a firm's probabilities of becoming a Ponzi and thereby confirmed Minsky's hypothesis on Dutch data. This paper is one of the few that use regression analysis to test the financial fragility hypothesis.

Full text (added May 14, 2021)

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