Monitoring Banking Sector Fragility: A Multivariate Logit Approach
提出一种多元Logit模型来监测银行业危机概率，利用易得数据，样本内表现优于现有方法，并可根据决策者对两类错误的偏好调整监控系统，有助于降低预防成本。
This article explores how a multivariate logit model of the probability of a banking crisis can be used to monitor banking sector fragility. The proposed approach relies on readily available data, and the fragility assessment has a clear interpretation based on in-sample statistics. The model has better in-sample performance than currently available alternatives, and the monitoring system can be tailored to fit the preferences of decisionmakers regarding type I and type II errors. The framework can be useful as a preliminary screen to economize on precautionary costs.