Credit funding and banking fragility : an empirical analysis for emerging economies

Thumbnail
Borradores de Economía; No. 931
Date published
2016-03-04
Date of last update
2016-03-04
Author
Guarín-López, Alexander
Lozano-Espitia, Luis Ignacio
Document language
spa
Metadata
Show full item record
Metrics
Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
Abstract
This paper proposes an empirical model to identify and forecast banking fragility episodes using information on the credit funding sources. We predict the probability of occurrence of such episodes 0, 3 and 6 months ahead employing a Bayesian Model Averag
JEL Codes
G21 - Banks; Depository Institutions; Micro Finance Institutions; MortgagesC11 - Bayesian Analysis: GeneralC52 - Model Evaluation, Validation, and SelectionC53 - Forecasting and Prediction Methods; Simulation MethodsG01 - Financial Crises
Keywords
Credit cycle ; Financial stability ; Wholesale funds ; Balance sheet ; Logistic model regression ; Bayesian model averaging ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/6242
https://hdl.handle.net/20.500.12134/6242
https://doi.org/10.32468/be.931
https://ideas.repec.org/p/bdr/borrec/931.html
https://ideas.repec.org/p/col/000094/014306.html
Collections
This work is licensed under a Creative Commons Reconocimiento-NoComercial 4.0.This document has been deposited by the author (s) under the following certificate of deposit