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Indicadores de estabilidad financiera: un nuevo índice para el sector financiero

Author

Listed:
  • María Victoria Landaberry

    (Banco Central del Uruguay)

Abstract

This paper discusses the modification of the instability index of the financial sector used to monitor the financial stability situation in Uruguay. It is proposed to modify the original index, presented in the working paper "Models and indicators of the financial stability situation: Methodology and application", in order to broaden the dimensions considered to assess the risk of the financial sector. New variables are incorporated to measure credit risk and additional variables are added to capture liquidity risk, profitability, leverage and market risk. As a result, a more complete financial sector instability index is obtained than originally proposed. The index has an adequate behavior, generating a signal of instability that anticipates the financial crisis of 2002.

Suggested Citation

  • María Victoria Landaberry, 2017. "Indicadores de estabilidad financiera: un nuevo índice para el sector financiero," Documentos de trabajo 2017010, Banco Central del Uruguay.
    • Handle: RePEc:bku:doctra:2017010
    as

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    File URL: https://www.bcu.gub.uy/Estadisticas-e-Indicadores/Documentos%20de%20Trabajo/10.2017.pdf
    File Function: First version, 2017
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    References listed on IDEAS

    as
    1. Mr. Paul Louis Ceriel Hilbers & Mr. Alfredo Mario Leone & Mr. Mahinder Singh Gill & Mr. Owen Evens, 2000. "Macroprudential Indicators of Financial System Soundness," IMF Occasional Papers 2000/007, International Monetary Fund.
    2. Claudio Borio & Mathias Drehmann, 2009. "Assessing the risk of banking crises - revisited," BIS Quarterly Review, Bank for International Settlements, March.
    3. Xavier Freixas & Jean-Charles Rochet, 2008. "Microeconomics of Banking, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 0262062704, December.
    4. Ms. Brenda Gonzalez-Hermosillo, 1999. "Determinants of Ex-Ante Banking System Distress: A Macro-Micro Empirical Exploration of Some Recent Episodes," IMF Working Papers 1999/033, International Monetary Fund.
    5. María Victoria Landaberry, 2015. "Modelos e indicadores de la situación de estabilidad financiera. Metodología y aplicación," Documentos de trabajo 2015010, Banco Central del Uruguay.
    6. Paul Bedford & Chris Bloor, 2009. "A cobweb model of financial stability in New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2009/11, Reserve Bank of New Zealand.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. María Victoria Landaberry & Rodrigo Lluberas & Micaela Vidal, 2021. "Una aplicación de la metodología Growth at Risk a Uruguay," Documentos de trabajo 2021009, Banco Central del Uruguay.
    2. Elizabeth Bucacos & Patricia Carballo & Miguel Mello & Jorge Ponce, 2022. "COVID-19 in Uruguay: A survey of policy responses and their impact," Documentos de trabajo 2022002, Banco Central del Uruguay.

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    More about this item

    Keywords

    Early warning indicator; financial stability; Uruguay;
    All these keywords.

    JEL classification:

    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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