Detail publikace

Banking crises in emerging economies: can credit variables work as early warnings?

Autor: Martina Jašová ,
Typ: IES Working Papers
Rok: 2015
Číslo: 27
Publikováno v: IES Working Papers 27/2015
Místo vydání: Prague
Klíčová slova: Early warning indicators, credit-to-GDP, countercyclical capital buffer, emerging markets, ROC, area under the curve
JEL kódy: C33, G01, G28
Citace: Jasova M. (2015). “ Banking Crises in Emerging Economies: Can Credit Variables Work as Early Warnings?” IES Working Paper 27/2015. IES FSV. Charles University.
Granty: GAUK 564612 - Makroobezřetnostní politika v období nadměrného úvěrového růstu
Abstrakt: This paper explores the role of private credit variables as early warning indicators (EWIs) of banking crises in context of emerging economies. The performance is evaluated by using receiver operating characteristics (ROC) curve and area under the curve (AUC) on long series on credit to the private non-financial sector. The results suggest that credit-to-GDP gap as proposed by Basel III may not be the best performing indicator to signal future banking distress in case of emerging economies. Credit growth outperforms credit-to-GDP gap in all time horizon. These findings are particularly important as they challenge the literature published on EWIs in emerged economies and highlight the need to use complementary indicators and multivariate analysis especially in the environment of emerging economies.
Ke stažení: wp_2015_27_jasova




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