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Autoren: 
Jašová, Martina
Datum: 
2015
Reihe/Nr.: 
IES Working Paper 27/2015
Zusammenfassung: 
This paper explores the role of private credit variables as early warning indicators (EWIs) of banking crises in context of emerging economies. The performance is evaluated by using receiver operating characteristics (ROC) curve and area under the curve (AUC) on long series on credit to the private non-financial sector. The results suggest that credit-to-GDP gap as proposed by Basel III may not be the best performing indicator to signal future banking distress in case of emerging economies. Credit growth outperforms credit-to-GDP gap in all time horizon. These findings are particularly important as they challenge the literature published on EWIs in emerged economies and highlight the need to use complementary indicators and multivariate analysis especially in the environment of emerging economies.
Schlagwörter: 
Early warning indicators
credit-to-GDP
countercyclical capital buffer
emerging markets
ROC
area under the curve
JEL: 
C33
G01
G28
Dokumentart: 
Working Paper
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