Table 1 Indicators used to construct... | Emerald Publishing

Table 1

Indicators used to construct financial vulnerability index

S. No.	Indicators	Components	Sign	Data source	References
1	Banking sector
i	Non-performing loans (NPL)	Bank NPL to gross loans	Positive	Global Financial Development Database, World Bank (GFDD, WB)	Lepers and Serrano (2020)
ii	Capital	Bank capital to total assets	Negative	GFDD, WB	Lepers and Serrano (2020)
iii	Credit disbursed	Bank credit to GDP	Positive	GFDD, WB	Lee et al. (2017)
iv	Liquidity	Ratio of liquid assets to deposits and short-term funding	Negative	GFDD, WB	–
v	Interconnectedness	Consolidated foreign claims to GDP	Positive	Bank of International Settlements (BIS)	Lee et al. (2017)
2	External sector
i	Current account balance	Current account balance as a percent of GDP	Negative	World Development Indicators, World Bank (WDI, WB)	Lee et al. (2017)
ii	Reserves	Total reserve to GDP	Negative	WDI, WB	Lee et al. (2017)
3	Non-financial sector
i	Household credit	Total credit disbursed to household sector as a percent of GDP	Positive	BIS credit series	Lee et al. (2017)
ii	Non-financial corporations credit	Total credit to non-financial corporations as a percent of GDP	Positive	BIS credit series	Lee et al. (2017)
iii	National savings	Gross domestic savings as a percent of GDP	Negative	International Financial Statistics (IFS), IMF	Lepers and Serrano (2020)
4	Valuation pressures
i	Stock market capitalization	Ratio of market capitalization of listed domestic companies to GDP	Positive	WDI, WB	Lepers and Serrano (2020)
ii	Stock price volatility	Average of the 360-day volatility of the national stock market index	Positive	GFDD, WB	Lepers and Serrano (2020)

S. No.	Indicators	Components	Sign	Data source	References
1	Banking sector
i	Non-performing loans (NPL)	Bank NPL to gross loans	Positive	Global Financial Development Database, World Bank (GFDD, WB)	Lepers and Serrano (2020)
ii	Capital	Bank capital to total assets	Negative	GFDD, WB	Lepers and Serrano (2020)
iii	Credit disbursed	Bank credit to GDP	Positive	GFDD, WB	Lee et al. (2017)
iv	Liquidity	Ratio of liquid assets to deposits and short-term funding	Negative	GFDD, WB	–
v	Interconnectedness	Consolidated foreign claims to GDP	Positive	Bank of International Settlements (BIS)	Lee et al. (2017)
2	External sector
i	Current account balance	Current account balance as a percent of GDP	Negative	World Development Indicators, World Bank (WDI, WB)	Lee et al. (2017)
ii	Reserves	Total reserve to GDP	Negative	WDI, WB	Lee et al. (2017)
3	Non-financial sector
i	Household credit	Total credit disbursed to household sector as a percent of GDP	Positive	BIS credit series	Lee et al. (2017)
ii	Non-financial corporations credit	Total credit to non-financial corporations as a percent of GDP	Positive	BIS credit series	Lee et al. (2017)
iii	National savings	Gross domestic savings as a percent of GDP	Negative	International Financial Statistics (IFS), IMF	Lepers and Serrano (2020)
4	Valuation pressures
i	Stock market capitalization	Ratio of market capitalization of listed domestic companies to GDP	Positive	WDI, WB	Lepers and Serrano (2020)
ii	Stock price volatility	Average of the 360-day volatility of the national stock market index	Positive	GFDD, WB	Lepers and Serrano (2020)

Source(s): Authors' own creation