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Indicadores de estabilidad financiera: un nuevo índice para el sector financiero

María Landaberry ()

No 2017010, Documentos de trabajo from Banco Central del Uruguay

Abstract: This paper discusses the modification of the instability index of the financial sector used to monitor the financial stability situation in Uruguay. It is proposed to modify the original index, presented in the working paper "Models and indicators of the financial stability situation: Methodology and application", in order to broaden the dimensions considered to assess the risk of the financial sector. New variables are incorporated to measure credit risk and additional variables are added to capture liquidity risk, profitability, leverage and market risk. As a result, a more complete financial sector instability index is obtained than originally proposed. The index has an adequate behavior, generating a signal of instability that anticipates the financial crisis of 2002.

Keywords: Early warning indicator; financial stability; Uruguay (search for similar items in EconPapers)
JEL-codes: E37 E44 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2017
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