Яшил иқтисодиёт ва тараққиёт 2-том (2024)
Are the current researched early warning indicators significant in identifying banking crises?
Berdiyorov, Bekzod, Masharipov, Sarvar, Berdiyorov, Jahongir
Аңдатпа
This paper continues the discussion set forth in the paper “Initial research: Are the current researched earlywarning indicators significant in identifying banking crises?” by Berdiyorov (2024) with expanding on the paper: ‘EarlyWarning Indicators of Banking Crises: Expanding the Family’ by Aldasoro, Borio and Drehmann (2018). Using a pooledlogistic model with large a data set from 1980 to 2019 containing multiple countries and crises and estimating the optimalthresholds for each indicator to produce accurate true signals of banking crises. I establish that the current EWIs, mainlythe credit-to-GDP gap, are still highly significant and reliable indicators of banking crises, producing highly significantinformative signals according to the AUROCs and signal-to-noise ratios. In addition, the additional indicators introducedin this paper are found to also be effective statistically significant indicators of vulnerabilities within the banking industry.For example, the loans-to-deposit has high AUCs across all time horizons and the highest signal-to-noise ratios amongstall the indicators.
Early Warning Indicators (EWIs), Banking Crises, pooled logistic model, AUROCs.
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