Credit funding and banking fragility: A forecasting model for emerging economies |
| |
| Affiliation: | 1. Universidade Federal do Ceará, Avenida da Universidade, 2431, Benfica, Fortaleza, CE 60020-180, Brazil;2. Fucape Business School, Av. Fernando Ferrari, 1358, Vitória, ES 29075-505, Brazil;3. Universidade de São Paulo, Av. Professor Luciano Gualberto, 908, FEA 3, São Paulo, SP 05508-900, Brazil;1. University of South Australia, School of Commerce, Adelaide, Australia;2. University of Sri Jayewardenepura, Department of Decision Sciences, Nugegoda, Sri Lanka;3. American University in Bulgaria, Department of Economics, Blagoevgrad, Bulgaria;1. FGV/Sao Paulo School of Economics, Brazil;2. FGV/Sao Paulo School of Business Administration, Brazil;1. University of Strasbourg, IEP Strasbourg, and EM Strasbourg Business School, France;2. University of Sousse, IHEC Sousse, Tunisia;1. Suleman Dawood School of Business, Lahore University of Management Sciences, Lahore, Pakistan;2. Nottingham University Business School, The University of Nottingham Malaysia Campus, Malaysia;3. Henley Business School, The University of Reading Malaysia, Malaysia |
| |
| Abstract: | Our paper proposes an empirical model to forecast banking fragility episodes using information from the credit funding sources. We predict the probability of occurrence of such events 3 and 6 months ahead, employing a Bayesian Model Averaging on logistic regressions. We perform prediction exercises for nine emerging economies under a broad set of prior specifications, whose results are evaluated using predictive ability tests and the signaling analysis approach. Our findings indicate that the increasing use of wholesale funds provide signals of banking frailness. Moreover, pseudo out-of-sample predictions show that our warning tool is able to forecast financial fragility events. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
