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

Lozano, Ignacio; Guarin, Alexander

doi:10.1016/j.espe.2014.10.001

Cited by 4 publications

(3 citation statements)

References 29 publications

(38 reference statements)

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“…Hahm et al (2013) find empirical evidence on the role of non-core liabilities to signal vulnerability in an international sample of banks for emerging and developing economies between 2000 and 2010. Moreover, Lozano & Guarin (2014) use the dynamics of deposits and wholesale funds to estimate periods of financial fragility for the Colombian banking system between 1996 and 2012.…”

Section: Literaturementioning

confidence: 99%

“…Furthermore, this technique takes into account model uncertainty by going through all possible models that can arise from the combination of a given set of variables. Recent BMA applications on the construction of early warning indicators are Babecký et al (2013Babecký et al ( , 2014, Guarin et al (2014) and Lozano & Guarin (2014).…”

Section: Empirical Modelmentioning

confidence: 99%

“…We include, as third credit funding source, the resources coming from the liquidation of portfolio investments held by banks. Lozano & Guarin (2014) provide evidence on the importance of these resources to fund the expansion of lending for Colombia. The proxy for this funding source is the ratio between total portfolio investments and total credit.…”

Section: Set Of Explanatory Variablesmentioning

confidence: 99%

See 2 more Smart Citations

Credit funding and banking fragility : an empirical analysis for emerging economies

Guarín-López¹,

Lozano-Espitia²,

Lozano-Espitia³

et al. 2016

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This paper proposes an empirical model to identify and forecast banking fragility episodes using information on the credit funding sources. We predict the probability of occurrence of such episodes 0, 3 and 6 months ahead employing a Bayesian Model Averaging of logistic regressions. The exercises use monthly balance sheet data since the middle of the nineties for the banking system of nine emerging economies: Brazil, Colombia, Croatia, Czech Republic, Mexico, Peru, Poland, Taiwan and Turkey. Our findings suggest that the increasing use of wholesale funds to support credit expansion provides warning signals of banking frailness. The in-sample and out-of-sample predictions indicate that the proposed technique is a suitable tool for forecasting short-term financial fragility events. Therefore, monitoring these funds through our tool could become useful in prudential practice.

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Section: Literaturementioning

confidence: 99%