Monitoring Banking Sector Fragility A Multivariate Logit Approach

27 Pages Posted: 15 Feb 2006

See all articles by Asli Demirgüç-Kunt

Asli Demirgüç-Kunt

World Bank - Development Research Group; World Bank

Enrica Detragiache

International Monetary Fund (IMF) - European Department

Date Written: October 1999

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.

Keywords: Banking crises bank fragility monitoring

JEL Classification: E44 E47 G21

Suggested Citation

Demirgüç-Kunt, Asli and Detragiache, Enrica, Monitoring Banking Sector Fragility A Multivariate Logit Approach (October 1999). IMF Working Paper, Vol. , pp. 1-27, 1999. Available at SSRN: https://ssrn.com/abstract=880674

Asli Demirgüç-Kunt (Contact Author)

World Bank - Development Research Group ( email )

United States
202-473-7479 (Phone)
202-522-1155 (Fax)

HOME PAGE: http://econ.worldbank.org/staff/ademirguckunt/

World Bank ( email )

1818 H Street, NW
Washington, DC 20433
United States

Enrica Detragiache

International Monetary Fund (IMF) - European Department ( email )

700 19th Street NW
Washington, DC 20431
United States

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