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Monitoring Banking Sector Fragility: A Multivariate Logit Approach Author info | Abstract | Publisher info | Download info | Related research | Statistics Demirguc, Asli
Detragiache, Enrica
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This article explores how a multivariate logit model of the probability of a banking crisis 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 decisionmakers regarding type I and type II errors. The framework can be useful as a preliminary screen to economize on precautionary costs. Copyright 2000 by Oxford University Press.
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Article provided by Oxford University Press in its journal World Bank Economic Review .
Volume (Year): 14 (2000)
Issue (Month): 2 (May)
Pages: 287-307
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Handle: RePEc:oup:wbecrv:v:14:y:2000:i:2:p:287-307Contact details of provider: Postal: Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK Fax: 01865 267 985 Email: Web page: http://wber.oxfordjournals.org/
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For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).
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References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Graciela L. Kaminsky & Carmen M. Reinhart, 1996.
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