Assessing the risk of banking crises - revisited
Claudio Borio and
Mathias Drehmann ()
BIS Quarterly Review, 2009
Historically, unusually strong increases in credit and asset prices have tended to precede banking crises. Could the current crisis have been anticipated by exploiting this relationship? We explore this question by assessing the out-of-sample performance of leading indicators of banking system distress developed in previous work, also extended to incorporate explicitly property prices. We find that they are fairly successful in providing a signal for several banking systems currently in distress, including that of the United States. We also consider the complications that arise in calibrating the indicators as a result of cross-border exposures, so prominent in the current episode.
JEL-codes: E37 E44 F34 G21 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:bis:bisqtr:0903e
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