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

Serie

• Borradores de economía

Resumen

• 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.

autores

• Guarín López, Alexander
• Lozano-Espitia, Ignacio

fecha de publicación

• 2014-03

Área temática

• C11 - Análisis bayesiano: generalidades
• C23 - Modelos uniecuacionales; variables simples: Modelos con datos de panel; Modelos espacio-temporales
• C52 - Evaluación, contraste y selección de modelos
• C53 - Métodos de pronóstico y predicción; métodos de simulación
• G01 - Crisis financiera
• G20 - Instituciones y servicios financieros: Generalidades
• G21 - Bancos; Instituciones de depósito; Instituciones Microfinancieras; Hipotecas

Enfoque geográfico

• Colombia  Country
• South America  Continent

Líneas de investigación

• Balance Sheet
• Bayesian Model Averaging
• Credit Cycle
• Financial Stability
• Logistic Model Regression
• Wholesale Funds

Identificador de objeto digital (DOI)

• https://doi.org/10.32468/be.813i

Issue

• 813i