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Credit-based early warning indicators of banking crises in emerging markets

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F18%3A10366827" target="_blank" >RIV/00216208:11230/18:10366827 - isvavai.cz</a>

  • Result on the web

    <a href="http://dx.doi.org/10.1016/j.ecosys.2017.05.004" target="_blank" >http://dx.doi.org/10.1016/j.ecosys.2017.05.004</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.1016/j.ecosys.2017.05.004" target="_blank" >10.1016/j.ecosys.2017.05.004</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

    Credit-based early warning indicators of banking crises in emerging markets

  • Original language description

    This article explores the role of credit-based variables as early warning indicators (EWIs) of banking crises in the context of emerging economies. We collect data on bank and total credit to the private sector in emerging markets and evaluate the signalling performance by using the area under the receiver operating characteristics (ROC) curve (AUC). Our results show that nominal credit growth and the change in the credit-to-GDP ratio have the best signalling properties and significantly outperform the credit-to-GDP gap in almost all specifications for policy-relevant horizons. These findings are in stark contrast with the results on advanced economies, where the credit-to-GDP gap is the single best performing EWI. Our results emphasize the importance of caution when applying statistical methods calibrated for advanced markets to emerging economies

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database

  • CEP classification

  • OECD FORD branch

    50201 - Economic Theory

Result continuities

  • Project

    <a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>

  • Continuities

    P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Others

  • Publication year

    2018

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    Economic Systems

  • ISSN

    0939-3625

  • e-ISSN

  • Volume of the periodical

    42

  • Issue of the periodical within the volume

    1

  • Country of publishing house

    NL - THE KINGDOM OF THE NETHERLANDS

  • Number of pages

    14

  • Pages from-to

    18-31

  • UT code for WoS article

    000428606800003

  • EID of the result in the Scopus database

    2-s2.0-85035335664