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Monitoring Banking Sector Fragility A Multivariate Logit Approach

This paper explores how a multivariate logit empirical model of banking crisis probabilities can be used to monitor banking sector fragility. The proposed approach relies on readily available data, and the fragility assessment has a clear interpretation based on in-sample statistics. The model has b...

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Bibliographic Details
Main Author: Detragiache, Enrica
Other Authors: Demirgüç-Kunt, Asli
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 1999
Series:IMF Working Papers
Subjects:
Economic & Financial Crises & Disasters
Depository Institutions
Interest Rates
Commercial Banks
Banks
Finance
Financial Crises
Banks And Banking
Financial Institutions
Systemic Crises
Financial Services
Real Interest Rates
Micro Finance Institutions
Mortgages
Money And Interest Rates: Forecasting And Simulation
Financial Markets And The Macroeconomy
Macroeconomics
Banking Crises
Banking
Interest Rates: Determination, Term Structure, And Effects
Financial Risk Management
Thailand
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
Summary:This paper explores how a multivariate logit empirical model of banking crisis probabilities can be used to monitor banking sector fragility. The proposed approach relies on readily available data, and the fragility assessment has a clear interpretation based on in-sample statistics. The model has better in-sample performance than currently available alternatives, and the monitoring system can be tailored to fit the preferences of the decision maker regarding type I and type II errors. The framework can be useful as a preliminary screen to economize on precautionary costs
Physical Description:27 pages
ISBN:9781451856712

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