Índice de sincronía bancaria y ciclos financieros

Juan Francisco Martinez and Daniel Oda

Working Papers Central Bank of Chile from Central Bank of Chile

Abstract: This paper proposes an early warning indicator for the banking system. The methodology focus is a timely measure of banking risks, such as credit risk. This indicator is based on the synchronization of risk indicators of the banks within the system, which has been called Synchrony indicator of Banking or SiB. This makes it possible to analyse a banking system taking into account the heterogeneity of its participants. From this, theoretical and empirical properties of the indicator are analysed. In this context, the recent risk evolution of the Chilean banking system is reviewed following this proposal. Significant advantages over conventional indicators have been found: anticipation and interpretability.

Date: 2019-09
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Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchwp:841

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