A financial stability index for Colombia

Abstract

Financial stress index, Financial institutions, Early warning systems, Financial fragility, Monitoring, E44, G21, C25,

Financial Stress Indices and Financial Crises

“…They conclude that their index can timely identify the crisis periods as well as the level of systemic stress in the Greek financial system. Similar findings have been reported for Canada by Illing and Liu (2006) and for Columbia by Morales and Estrada (2010). As pointed out before, single-country FSIs usually contain more indicators than multi-country FSIs and may therefore be better able to capture stress.…”

“…Financial stress indices have been constructed for one country (e.g., Illing and Liu 2006;Hakkio and Keeton 2009;Morales and Estrada 2010;Holló 2012) or for several countries (e.g., Holmfeldt et al 2009;Cardarelli et al 2011;Slingenberg and de Haan 2011;Holló et al 2012;Cevik et al 2013;Islami and Kurz-Kim 2013). In general, stress indices for a single country combine more indicators into one statistic than multicountry stress indices (see Table 6 in the Appendix for a comparison of several stress indices; for a more extensive comparison we refer to Kliesen et al 2012).…”

“…This is not surprising in view of data availability. Most studies use market data, but some (e.g., Holló et al 2012) use both mixed market and balance sheet data, while Morales and Estrada (2010) consider only balance sheet data.…”

A Financial Systemic Stress Index for Greece

“…Most of the studies utilized market data (e.g. see Illing and Liu, 2006;Cardarelli et al, 2009;Hatzious et al, 2010) while Hanschel and Monnin (2005) and Hollo et al (2012) utilized mixed market and balance sheet data and Morales and Estrada (2010) considered only balance sheet data. A methodological choice, which is also adopted here, is to construct composite indices for sets of variables and then aggregate them into a systemic stress indicator (Grinaldi, 2010;Hollo et al, 2012).…”

Financial Conditions Indexes

“…Morales and Estrada (2010) Bank profitability and probability of default. 1993 1994 1973 1970 1994 1990 1980 1990 1991 1990 1982 Frequency deviated considerably in the intervening years.…”