Structural breaks in financial panel data

Yiannis Karavias

Research output: Chapter in Book/Report/Conference proceedingChapter


The purpose of this chapter is to review recently developed methods for analyzing structural breaks in panel data. Structural breaks are caused by events that change the parameters of economic and financial models, such as the 2007–2008 financial crisis and the COVID-19 crisis. If not correctly accounted for they lead to an invalid inference. It is not always clear if a significant event has affected a particular economic model or relationship, or the date on which the relationship suffered the change. Answers to these questions can only be given through formal econometric analysis. This chapter reviews methods for both detecting and dating structural breaks. Furthermore, the usefulness of structural break method is demonstrated in examining trade credit determinants in a panel of small and medium European enterprises. A structural break was detected and dated in the year 2010. Before the break, firm profitability, sales growth, and bank loans all contributed to an increase in trade credit. After the break, the bank loans’ effect was significantly reduced, providing evidence that the trade credit’s redistribution channel collapsed after the 2007–2008 financial crisis.
Original languageEnglish
Title of host publicationEncyclopedia of Finance
EditorsCheng-Few Lee, Alice C. Lee
PublisherSpringer Nature
Number of pages17
EditionLiving Edition
ISBN (Electronic)9783030734435
Publication statusPublished - 22 Sept 2021


  • Panel data
  • Structural change
  • Cross-section dependence
  • Structural break
  • Trade credit
  • Financial crisis


Dive into the research topics of 'Structural breaks in financial panel data'. Together they form a unique fingerprint.

Cite this