Early warning indicators (EWIs) of banking crises should ideally be evaluated on the basis of their performance relative to the macroprudential policy maker's decision problem. We translate several practical aspects of this problem - such as difficulties in assessing the costs and benefits of...

Given the indisputable cost of policy inaction in the run-up to banking crises as well as the negative side effects of unwarranted policy activation, policymakers would strongly benefit from earlywarning thresholds that more accurately predict crises and produce fewer false alarms. This paper...

Banking crises can be extremely costly. The early detection of vulnerabilities can help prevent or mitigate those costs. We develop an early warning model of systemic banking crises that combines regression tree technology with a statistical algorithm (CRAGGING) to improve its accuracy and...

This paper shows how the role of Financial Soundness Indicators (FSIs) in financial surveillance can be usefully enhanced. Drawing from different statistical techniques, the paper illustrates that FSIs generate signals that can accurately detect, with 4 to 12 quarters lead, emerging financial...

I propose a nonparametric structural estimator for the distribution of liquidity needs in a version of the Diamond and Dybvig (1983) model when only the aggregate level of withdrawals is observed. The model is an extension of Peck and Shell (2003) with a continuum of depositors. I show how the...

This paper aims to investigate the main determinants of Tunisian bank stability. To achieve this goal; we have used a dataset of ten (10) Tunisian banks during the period 1990-2015. These banks are the most dynamic and the most involved in the financing of the economy. The econometric strategy...

Banking crises are rare events, however when they occur they often have dramatic consequences. The aim of this paper is to contribute to the toolkit of early warning models available to policy makers by exploring the dynamics and non-linearities embedded in a panel dataset covering several...