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Monitoring Banking Sector Fragility

 
Paper:ewp-mac/0206004
From:    
Date: Mon, 24 Jun 2002 17:46:30 -0500
Date (revised): Mon, 5 Apr 2004 09:27:16 -0500
Date (revised): Mon, 5 Sep 2005 02:10:56 -0500
Date (revised): Mon, 5 Sep 2005 02:45:48 -0500
Date (revised): Fri, 17 Mar 2006 02:48:34 -0600

Abstract:
In the financial crisis literature, it is usually argued that, contrary to the case of currency crises, building a time series index to identify banking crisis episodes is highly difficult, particularly because of the lack of reliable data on banking sector variables (non-performing loans, etc.). Accordingly, existing methods applied to pinpoint banking crisis years are generally event-based, such as that used by Caprio and Klingebiel (1996 and 1999) and Lindgren et al. (1996). This paper, however, proposes a weighted banking sector fragility index to measure changes in banks' vulnerability to crisis. Using monthly sectoral data for selected 22 countries, it is argued that this type of a fragility index seems to be highly useful in measurement and monitoring of changes in banking sector fragility. That is, it significantly may contribute to policy makers' efforts towards early detection of approaching banking sector difficulties. [To download the country-specific BSF indices: http://politics.ankara.edu.tr/~kibritci/banking/]

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EconWPA began as a conversation between Bob Parks and Larry Blume on January 28, 1993. I located Paul Ginsparg's archive (then xxx.lanl.gov) and he graciously installed his software on a Sun Sparc system which was supporting the department of economics email and computation. EconWPA began accepting papers July 1, 1993 and had ftp, email, gopher and web interfaces. The web interface for submissions was engineered into existence in July 1995. A complete and catastrophic machine failure in 1999 caused the loss of EconWPA's email new paper announcment service at which time there were over 15,000 subscriptions with over 8,000 unique email addresses.

In 2005, Arts and Sciences commandeered the computing services that I had provided to the Department of Economics since 1987. Some might say that the department was sold out, others would (erroneously) claim that centralization is efficient, and still others would claim that I have few marketing skills.

I was told that I could keep operating EconWPA (as well as many other services including rfe.wustl.edu, barnett.wustl.edu, and three RePEc servers) but I would receive no support (hardware, software, or anthing else) and (as had been the case) no compensation. At that point, given the apparent low valuation of my activities by the department, and university, it made no sense for me to continue operating EconWPA or other services.

Thanks to all who have supported EconWPA in the past.

A Chinese curse states May you live in intersting times. I have. Bob Parks - Jan 2006