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Excessive Risk-Taking, Banking Sector Fragility, and Banking Crises

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  • Kibritcioglu, Aykut

    (U of Illinois at Urbana-Champaign)

Abstract

In the financial crisis literature, it is usually argued that, contrary to the case of currency crises, construction of a time series index to identify banking crisis episodes is highly difficult, particularly because of the lack of reliable data on banking sector variables such as the level of non-performing loans. Accordingly, existing methods used to pinpoint banking crisis years are generally event-based, such as that used by Caprio and Klingebiel (1996 and 1999) and Lindgren et al. (1996). This paper, however, proposes a weighted banking sector fragility index to measure the changes in banks' vulnerability to crisis. Using monthly sectoral data for selected 22 countries, it is argued that this type of a fragility index seems to be highly useful in measurement and monitoring of banking sector fragility.

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Bibliographic Info

Paper provided by University of Illinois at Urbana-Champaign, College of Business in its series Working Papers with number 02-0114.

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Date of creation: 2002
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Handle: RePEc:ecl:illbus:02-0114

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Web page: http://www.business.uiuc.edu/Working_Papers/Main.asp
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  1. Maurice Obstfeld & Kenneth Rogoff, 1995. "The Mirage of Fixed Exchange Rates," NBER Working Papers 5191, National Bureau of Economic Research, Inc.
  2. Martinez Peria, Maria Soledad, 2000. "The impact of banking crises on money demand and price stability," Policy Research Working Paper Series 2305, The World Bank.
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  17. International Monetary Fund, 2001. "Bank Reform and Bank Efficiency in Pakistan," IMF Working Papers 01/138, International Monetary Fund.
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Cited by:
  1. Taha Zaghdoudi, 2013. "Bank Failure Prediction with Logistic Regression," International Journal of Economics and Financial Issues, Econjournals, vol. 3(2), pages 537-543.
  2. Puspa Amri & Apanard P. Angkinand & Clas Wihlborg, 2011. "International comparisons of bank regulation, liberalization, and banking crises," Journal of Financial Economic Policy, Emerald Group Publishing, vol. 3(4), pages 322-339, November.
  3. Varvara Isyuk, 2013. "Determinants of the Allocation of Funds Under the Capital Purchase Program," Ekonomi-tek - International Economics Journal, Turkish Economic Association, vol. 2(1), pages 79-114, January.
  4. Fulbert Tchana Tchana, 2009. "The Empirics of Banking Regulation," Working Papers 128, Economic Research Southern Africa.

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