Evaluating early warning indicators of banking crises: Satisfying policy requirements

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Subfields: Finance

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Operationalising the Countercyclical Capital Buffer: Indicator Selection, Threshold Identification and Calibration Options (2014, methodology): “Relevant empirical evidence for such models is provided by Drehmann and Juselius (2014), who find that combining the credit-to-GDP gap with the debt service ratio improves its signalling performance.”
Financial Stability and Financial Inclusion (2014, background): “In a study of Chilean banks, Adasme, Majnoni, and Uribe (2006) found that the NPLs of small firms have quasinormal loss distributions, while those of large firms have fat-tailed distributions.”
Monetary Policy, the Financial Cycle and Ultralow Interest Rates (2016, background): “It is not credit growth per se that provides a good signal but the cumulative growth over and above certain thresholds alongside other developments, such as abnormal increases in asset prices (Borio and Drehmann (2009)) or the behaviour of the debt service burden (Drehmann and Juselius (2013)).”