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Monitoring Banking Sector Fragility

Aykut Kibritçioğlu ()

Macroeconomics from EconWPA

Abstract: In the financial crisis literature, it is usually argued that, contrary to the case of currency crises, building a time series index to identify banking crisis episodes is highly difficult, particularly because of the lack of reliable data on banking sector variables (non-performing loans, etc.). Accordingly, existing methods applied to pinpoint banking crisis years are generally event-based, such as that used by Caprio and Klingebiel (1996 and 1999) and Lindgren et al. (1996). This paper, however, proposes a weighted banking sector fragility index to measure changes in banks' vulnerability to crisis. Using monthly sectoral data for selected 22 countries, it is argued that this type of a fragility index seems to be highly useful in measurement and monitoring of changes in banking sector fragility. That is, it significantly may contribute to policy makers' efforts towards early detection of approaching banking sector difficulties. [To download the country-specific BSF indices: http://politics.ankara.edu.tr/~kibritci/banking/]

Keywords: Banking sector fragility; banking crises; Argentina; Bolivia; Brazil; Chile; Indonesia; Israel; Japan; Jordan; Kenya; Malaysia; Malta; Mexico; Pakistan; Peru; Philippines; Poland; South Korea; Sweden; Thailand; Trinidad and Tobago; Turkey; and Venezuela (search for similar items in EconPapers)
JEL-codes: E44 G21 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin and nep-ifn
Date: 2002-06-24, Revised 2006-03-17
Note: Type of Document - Acrobar Reader (pdf) file; prepared on PC; to print on Any printer / Letter sized paper; pages: 16 ; figures: included
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpma:0206004

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