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
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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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
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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