Monitoring Banking Sector Fragility: A Multivariate Logit Approach
AbstractThis 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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Bibliographic InfoArticle provided by World Bank Group in its journal World Bank Economic Review.
Volume (Year): 14 (2000)
Issue (Month): 2 (May)
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Other versions of this item:
- Enrica Detragiache & Asli DemirgÃ¼Ã§-Kunt, 1999. "Monitoring Banking Sector Fragility - A Multivariate Logit Approach," IMF Working Papers 99/147, International Monetary Fund.
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 Laura Kaminsky, 1999.
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