Credit funding and banking fragility : an empirical analysis for emerging economies

Número: 
931
Publicado: 
Clasificación JEL: 
C11, C52, C53, G01, G21
Palabras clave: 
Credit cycle, Financial stability, Wholesale funds, Balance sheet

This paper proposes an empirical model to identify and forecast banking fragility episodes using information on the credit funding sources. We predict the probability of occurrence of such episodes 0, 3 and 6 months ahead employing a Bayesian Model Averag