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Monitoring Banking Sector Fragility

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Author Info
Aykut Kibritcioglu (Ankara University)

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Abstract

In the financial crisis literature, it is usually argued that, contrary to the case of currency crises, building a time series index to identify banking crisis episodes is highly difficult, particularly because of the lack of reliable data on banking sector variables (non-performing loans, etc.). Accordingly, existing methods applied 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 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 changes in banking sector fragility. That is, it significantly may contribute to policy makers' efforts towards early detection of approaching banking sector difficulties. [To download the country-specific BSF indices: http://politics.ankara.edu.tr/~kibritci/banking/]

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File URL: http://129.3.20.41/eps/mac/papers/0206/0206004.pdf
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Publisher Info
Paper provided by EconWPA in its series Macroeconomics with number 0206004.

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Length: 16 pages
Date of creation: 24 Jun 2002
Date of revision: 05 Apr 2004
Handle: RePEc:wpa:wuwpma:0206004

Note: Type of Document - Acrobar Reader (pdf) file; prepared on PC; to print on Any printer / Letter sized paper; pages: 16 ; figures: included
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Web page: http://129.3.20.41

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Related research
Keywords: Banking sector fragility banking crises Argentina Bolivia Brazil Chile Indonesia Israel Japan Jordan Kenya Malaysia Malta Mexico Pakistan Peru Philippines Poland South Korea Sweden Thailand Trinidad and Tobago Turkey and Venezuela

Find related papers by JEL classification:
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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This page was last updated on 2008-4-27.


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