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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

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

Popis výsledku anglicky

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

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

<a href="/cs/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamické modely v ekonomii</a><br>

Návaznosti

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

Rok uplatnění

2018

Kód důvěrnosti údajů

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

Název periodika

Economic Systems

ISSN

0939-3625

e-ISSN

—

Svazek periodika

42

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

14

Strana od-do

18-31

Kód UT WoS článku

000428606800003

EID výsledku v databázi Scopus

2-s2.0-85035335664