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Fragilidad Bancaria en Colombia: Un Análisis Basado en las Hojas de Balance

  • Ignacio Lozano

    ()

  • Alexander Guarín

    ()

En este documento se estudia la relación empírica entre las fuentes de fondeo del crédito y la vulnerabilidad financiera del Sistema Bancario Colombiano. El trabajo propone la estimación bayesiana de modelos de regresión logística para identificar y predecir episodios de fragilidad bancaria asociados con las fuentes tradicionales y no tradicionales, que utilizan los bancos para proveer crédito. En particular, el ejercicio estima la probabilidad de que se presenten eventos de fragilidad tanto para el sistema bancario agregado como para los bancos individuales con datos mensuales de las hojas de balance para el periodo 1996-2013. Los resultados muestran que el creciente uso de los recursos no tradicionales para fondear el crédito, especialmente en sus fases de expansión, son fuente potencial de fragilidad financiera. Por consiguiente, el monitoreo a dichos recursos, a través de la técnica propuesta, proporciona una herramienta para detectar esos eventos. Classification JEL: C11, C23, C52, C53, G01, G20, G21

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 813.

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Length: 34
Date of creation: Jun 2014
Handle: RePEc:bdr:borrec:813
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