IDEAS home Printed from https://ideas.repec.org/p/imf/imfwpa/1996-142.html
   My bibliography  Save this paper

Banking System Fragility: Likelihood Versus Timing of Failure: An Application to the Mexican Financial Crisis

Author

Listed:
  • Mr. Robert Billings
  • Ms. Brenda Gonzalez-Hermosillo
  • Ceyla Pazarbasioglu

Abstract

This paper tests empirically the proposition that bank fragility is determined by bank-specific factors, macroeconomic conditions and potential contagion effects. The methodology allows for the variables that determine bank failure to differ from those that influence banks’ time to failure (or survival rate). Based on the indicators of fragility of individual banks, we construct an index of fragility for the banking system. The framework is applied to the Mexican financial crisis beginning in 1994. In the case of Mexico, bank-specific variables as well as contagion effects explain the likelihood of bank failure, while macroeconomic variables largely determine the timing of failure.

Suggested Citation

  • Mr. Robert Billings & Ms. Brenda Gonzalez-Hermosillo & Ceyla Pazarbasioglu, 1996. "Banking System Fragility: Likelihood Versus Timing of Failure: An Application to the Mexican Financial Crisis," IMF Working Papers 1996/142, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:1996/142
    as

    Download full text from publisher

    File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=1938
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. José E. Gómez-Gonzalez & Nicholas M. Kiefer, 2009. "Bank Failure: Evidence From The Colombian Financial Crisis," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 3(2), pages 15-31.
    2. José Eduardo Gómez González & Ines Paola Orozco Hinojosa, 2010. "Un modelo de alerta temprana para el sistema financiero colombiano," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 28(62), pages 124-147, June.
    3. Jos� Eduardo Gómez-González, 2012. "Failing and Merging as Competing Alternatives during Times of Financial Distress: Evidence from the Colombian Financial Crisis," International Economic Journal, Taylor & Francis Journals, vol. 26(4), pages 655-671, October.
    4. Liliana Rojas-Suarez, 2001. "Rating Banks in Emerging Markets: What Credit Rating Agencies Should Learn from Financial Indicators," Working Paper Series WP01-6, Peterson Institute for International Economics.
    5. Valeriya Dinger & J‹Rgen Von Hagen, 2009. "Does Interbank Borrowing Reduce Bank Risk?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(2-3), pages 491-506, March.
    6. Michael Halling & Evelyn Hayden, 2008. "Bank failure prediction: a two-step survival time approach," IFC Bulletins chapters, in: Bank for International Settlements (ed.), The IFC's contribution to the 56th ISI Session, Lisbon, August 2007, volume 28, pages 48-73, Bank for International Settlements.
    7. Soledad, M.S. & Schmukler, S., 1999. "Do Depositors Punish Banks for "Bad"Behavior?: Examining Market Discipline in Argentina, Chile, and Mexico," Papers 48, Cambridge - Risk, Information & Quantity Signals.
    8. Rüffer, Rasmus, 1999. "Implicit government guarantees and bank herding behavior," Discussion Paper Series 1: Economic Studies 1999,06, Deutsche Bundesbank.
    9. Martinez Peria, Maria Soledad & Schmukler, Sergio L., 1999. "Do depositors punish banks for"bad"behavior? : market discipline in Argentina, Chile, and Mexico," Policy Research Working Paper Series 2058, The World Bank.
    10. Meral Varish Kiefer, 2014. "Bank failures and mergers in Turkey: 1992-2014," Journal of Economic and Financial Studies (JEFS), LAR Center Press, vol. 2(5), pages 31-49, October.
    11. Hulya Bayir, 2001. "Measuring the Impact of Full Coverage Deposit Insurance Policy in a Probit Model : A Study of the Privately Owned Commercial Banks in Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 1(1), pages 1-23.
    12. Jose E. Gomez-Gonzalez & Nicholas M. Kiefer, 2006. "Explaining time to bank failure in Colombia during the financial crisis of the late 1990s," Borradores de Economia 400, Banco de la Republica de Colombia.
    13. James R. Barth & Sunghoon Joo & Kang‐Bok Lee, 2022. "Bank–client cross‐ownership of bank stocks: A network analysis," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(2), pages 280-312, June.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:imf:imfwpa:1996/142. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Akshay Modi (email available below). General contact details of provider: https://edirc.repec.org/data/imfffus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.