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

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Borradores de Economía; No. 931

Date published

2016-03-04

Date

2016-03-04

Authors

Guarín-López, Alexander
Lozano-Espitia, Luis Ignacio

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ISSN

ISBN

Document language

spa
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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.

The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.

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

Description

JEL Codes

G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages
C11 - Bayesian Analysis: General
C52 - Model Evaluation, Validation, and Selection
C53 - Forecasting and Prediction Methods; Simulation Methods
G01 - Financial Crises

Temática

Keywords

Keywords

Credit cycle , Financial stability , Wholesale funds , Balance sheet , Logistic model regression , Bayesian model averaging

Citation

URI

https://repositorio.banrep.gov.co/handle/20.500.12134/6242
 https://hdl.handle.net/20.500.12134/6242
 https://ideas.repec.org/p/bdr/borrec/931.html
 https://doi.org/10.32468/be.931

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Borradores de Economía

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