Monitoring Banking Sector Fragility [electronic resource] : A Multivariate Logit Approach / Enrica Detragiache.
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TextSeries: IMF Working Papers; Working Paper ; No. 99/147Publication details: Washington, D.C. : International Monetary Fund, 1999Description: 1 online resource (27 p.)ISBN: 1451856717 :ISSN: 1018-5941Subject(s): Bank Fragility | Banking Crises | Banking Crisis | Banking | Monitoring | Probabilities | Jamaica | Korea, Republic of | Malaysia | Philippines | ThailandAdditional physical formats: Print Version:: Monitoring Banking Sector Fragility : A Multivariate Logit ApproachOnline resources: IMF e-Library | IMF Book Store Abstract: This paper explores how a multivariate logit empirical model of banking crisis probabilities can be used to monitor banking sector fragility. The proposed approach relies on readily available data, and the fragility assessment has a clear interpretation based on in-sample statistics. The model has better in-sample performance than currently available alternatives, and the monitoring system can be tailored to fit the preferences of the decision maker regarding type I and type II errors. The framework can be useful as a preliminary screen to economize on precautionary costs.
This paper explores how a multivariate logit empirical model of banking crisis probabilities can be used to monitor banking sector fragility. The proposed approach relies on readily available data, and the fragility assessment has a clear interpretation based on in-sample statistics. The model has better in-sample performance than currently available alternatives, and the monitoring system can be tailored to fit the preferences of the decision maker regarding type I and type II errors. The framework can be useful as a preliminary screen to economize on precautionary costs.
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