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

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

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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