publication . Report . Article . Preprint . 2014

Banking Fragility in Colombia: An Empirical Analysis Based on Balance Sheets

Lozano, Ignacio; Guarín, Alexander;
Open Access
  • Published: 01 Jul 2014
  • Publisher: Banco de la República
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 ...
Subjects
free text keywords: Financial stability, Logistic model regression, Bayesian model averaging, Ciclo del crédito, Estabilidad financiera, Hoja de balance, Modelo de regresión logística, Promedio Bayesiano de modelos, Empirical relationship, Financial system, Financial fragility, Financial economics, Statistical model, Fragility, Logistic regression, Economics, Credit cycle, Wholesale funding, Balance sheet
Related Organizations
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publication . Report . Article . Preprint . 2014

Banking Fragility in Colombia: An Empirical Analysis Based on Balance Sheets

Lozano, Ignacio; Guarín, Alexander;