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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)

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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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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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E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Mortgages

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    Other versions:
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  7. Barry Eichengreen & Carlos Arteta, 2000. "Banking Crises in Emerging Markets: Presumptions and Evidence," Center for International and Development Economics Research, Working Paper Series 1007, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley. [Downloadable!]
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  8. Michael Hutchison & Ilan Noy, 2002. "How bad are twins? output costs of currency and banking crises," Pacific Basin Working Paper Series 02-02, Federal Reserve Bank of San Francisco. [Downloadable!]
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  9. Pierre-Olivier Gourinchas & Rodrigo Valdes & Oscar Landerretche, 2001. "Lending Booms: Latin America and the World," NBER Working Papers 8249, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  10. Adolfo Barajas & Roberto Steiner, 2002. "Credit Stagnation in Latin America," IMF Working Papers 02/53, International Monetary Fund.
  11. Emilia Bonaccorsi di Patti & Daniel C. L. Hardy, 2001. "Bank Reform and Bank Efficiency in Pakistan," IMF Working Papers 01/138, International Monetary Fund. [Downloadable!]
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  14. Daniel C. L. Hardy & Ceyla Pazarbasioglu, 1998. "Leading Indicators of Banking Crises-Was Asia Different?," IMF Working Papers 98/91, International Monetary Fund.
  15. Enrica Detragiache & Asli Demirgüç-Kunt, 1999. "Monitoring Banking Sector Fragility - A Multivariate Logit Approach," IMF Working Papers 99/147, International Monetary Fund.
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  1. TCHANA TCHANA , Fulbert, 2008. "The Empirics of Banking Regulation," MPRA Paper 9299, University Library of Munich, Germany. [Downloadable!]
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