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

Q3 Social Sciences
Ignacio Lozano, Alexander Guarín
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引用次数: 5

Abstract

In this paper, we study the empirical relationship between credit funding sources and the financial vulnerability of the Colombian banking system. We propose a statistical model to measure and predict banking fragility episodes associated with credit funding sources classified into retail deposits and wholesale funds. We compute the probability of financial fragility for both the aggregated banking system and the individual banks. Our approach performs a Bayesian averaging of estimated logit regression models with monthly balance sheet data between 1996 and 2013. The results show the increasing use of wholesale funding to support credit expansion is a potential source of financial fragility. Therefore, monitoring credit funding sources could provide an additional tool to warn against banking disruptions.

哥伦比亚银行业脆弱性:基于资产负债表的实证分析
本文研究了信贷资金来源与哥伦比亚银行体系金融脆弱性之间的实证关系。我们提出了一个统计模型来衡量和预测与信贷资金来源相关的银行脆弱性事件,信贷资金来源分为零售存款和批发资金。我们计算了总体银行体系和单个银行的金融脆弱性的概率。我们的方法对1996年至2013年间每月资产负债表数据的估计logit回归模型进行贝叶斯平均。结果表明,越来越多地使用批发融资来支持信贷扩张是金融脆弱性的一个潜在来源。因此,监测信贷资金来源可以提供一个额外的工具来警告银行业务中断。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Ensayos Sobre Politica Economica
Ensayos Sobre Politica Economica Social Sciences-Political Science and International Relations
CiteScore
1.50
自引率
0.00%
发文量
4
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