An Early Warning Model for Predicting Credit Booms Using Macroeconomic Aggregates

Guarin, Alexander; González, Andrés; Skandalis, Daphné; Sánchez, Daniela

doi:10.1016/s0120-4483(14)70020-x

Cited by 15 publications

(24 citation statements)

References 18 publications

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“…The first takes place in the second half of 1998 and at the beginning of 1999. Not surprisingly, these events coincide with the credit boom identified by Guarín et al (2014). After that, the probability declines to less than 20%.…”

Section: Total Banking Sectormentioning

confidence: 68%

“…7 shows the periods of financial fragility for the total banking system (gray areas), while Right-Panel compares these areas with the probability of credit booms (Guarín et al, 2014). From the start of our sample (1996), we can distinguish three periods of relatively high financial fragility.…”

Section: Financial Fragilitymentioning

confidence: 99%

“…To deal simultaneously with both the model and the parameter uncertainty in our estimation, we run a BMA (Bayesian Model Averaging) estimation following Guarín et al (2014) based on Raftery (1995) and Raftery, Madigan, and Hoeting (1997). The data set is denoted by D and M = [M 1 , .…”

Section: Modelmentioning

confidence: 99%

“…Drehmann, Borio, & Tsatsaronis, 2012, Guarín, González, Skandalis, & Sánchez, 2014and Greenwood, Landier, & Thesmar, 2012Frankel & Saravelos, 2010;Goldstein, Kaminsky, & Reinhart, 2000). In general, these indicators are built using financial data from the assets side of the balance sheet (i.e.…”

Section: Introductionmentioning

confidence: 99%

“…Episodes of financial fragility and credit booms. This figure shows the financial fragility dummy for the total banking sector (Left Panel) and compares it(Right Panel) to the probability of credit boom (Solid line) found byGuarín et al (2014).…”

mentioning

confidence: 99%

See 4 more Smart Citations

Banking fragility in Colombia: An empirical analysis based on balance sheets

Lozano¹,

Guarin²

2014

Ensayos sobre Política Económica

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Section: Total Banking Sectormentioning

confidence: 68%

Section: Financial Fragilitymentioning

confidence: 99%

Section: Modelmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

mentioning

confidence: 99%

See 3 more Smart Citations

Banking fragility in Colombia: An empirical analysis based on balance sheets

Lozano¹,

Guarin²

2014

Ensayos sobre Política Económica

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Credit funding and banking fragility: A forecasting model for emerging economies

Guarin

Lozano

2017

Emerging Markets Review

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Leverage Pro-cyclicality and Bank Balance Sheet in Colombia

Hamann¹,

Hernández²,

Silva³

et al. 2014

Ensayos sobre Política Económica

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The recent financial crisis has renewed the interest of economists, both at the theoretical and empirical level, in developing a better understanding of credit and its mechanisms. A rapidly growing strand of the literature views banks as facing funding restrictions that condition their borrowing to a risk-based capital constraint which, in turn, affects bank lending. This work explores the way banks in Colombia manage their balance sheet and sheds light into the dynamics of credit and leverage over the business cycle. Using a sample of monthly bank balance sheets for the period 1994-2011, we find not only that leverage is predominantly pro-cyclical in the Colombian banking sector, but also that heterogeneity matters, and thus, an aggregate measure of bank leverage can mask a fragile financial sector. In addition, although some banks display great dynamics on the right-hand side of their balance sheet during the upward phase of the leverage cycle, changes in the composition of liabilities between core and non-core do not seem to have a clear pattern. Still, more attention should be paid on this by policy makers, as these dynamics could convey information about the phase of the cycle of the economy and the financial vulnerability of the system as a whole.

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An Early Warning Model for Predicting Credit Booms Using Macroeconomic Aggregates

Cited by 15 publications

References 18 publications

Banking fragility in Colombia: An empirical analysis based on balance sheets

Banking fragility in Colombia: An empirical analysis based on balance sheets

Credit funding and banking fragility: A forecasting model for emerging economies

Leverage Pro-cyclicality and Bank Balance Sheet in Colombia

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