A financial stability index for Colombia

被引:60
作者
Morales, Miguel A. [1 ]
Estrada, Dairo [1 ]
机构
[1] Cent Bank Colombia, Carrera 7a 14-78,Floor 4, Bogota, South America, Colombia
关键词
Financial stress index; Financial institutions; Early warning systems; Financial fragility; Monitoring;
D O I
10.1007/s10436-010-0161-7
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
The imbalances of the financial systems have showed the vast economic and social costs generated by financial instability. As a consequence, the development of stress indexes has spread as an alternative to assess the soundness of financial systems. The aim of this paper is to construct a continuous and quantifiable index with the capacity of establishing the stress level of the Colombian financial system as a function of profitability, liquidity and probability of default. Results show that the index determines effectively the stress level of the system. In addition, we performed forecasts of the financial stability index using macroeconomics variables.
引用
收藏
页码:555 / 581
页数:27
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