Early warning indicators of banking crises: expanding the family
Iñaki Aldasoro,
Claudio Borio and
Mathias Drehmann
Journal of Financial Transformation, 2018, vol. 48, 142-155
Abstract:
Household and international debt (cross-border or in foreign currency) are a potential source of vulnerabilities that could eventually lead to banking crises. We explore this issue formally by assessing the performance of these debt categories as early warning indicators (EWIs) for systemic banking crises. We find that they do contain useful information. In fact, over the more recent subsample, for household and cross-border debt indicators the information is similar to that of the more commonly used aggregate credit variables regularly monitored by the Bank for International Settlements (BIS). Confirming previous work, combining these indicators with property prices improves performance. An analysis of current global conditions based on this richer information set points to the build-up of vulnerabilities in several countries.
Keywords: early warning indicators; banking crises; credit gap; debt service ratio (search for similar items in EconPapers)
JEL-codes: E37 E44 F34 G21 (search for similar items in EconPapers)
Date: 2018
References: Add references at CitEc
Citations: View citations in EconPapers (73)
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Related works:
Journal Article: Early warning indicators of banking crises: expanding the family (2018) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:ris:jofitr:1621
Access Statistics for this article
Journal of Financial Transformation is currently edited by Prof. Shahin Shojai
More articles in Journal of Financial Transformation from Capco Institute 77 Water Street, 10th Floor, New York NY 10005.
Bibliographic data for series maintained by Prof. Shahin Shojai ( this e-mail address is bad, please contact ).