Banking, debt, and currency crises in developed countries: stylized facts and early warning indicators

0439528 - NHU-C 2015 RIV US eng J - Článek v odborném periodiku
Babecký, J. - Havránek, T. - Matějů, Jakub - Rusnák, M. - Šmídková, K. - Vašíček, B.
Banking, debt, and currency crises in developed countries: stylized facts and early warning indicators.
Journal of Financial Stability. Roč. 15, December (2014), s. 1-17. ISSN 1572-3089. E-ISSN 1878-0962
Institucionální podpora: PRVOUK-P23
Klíčová slova: crises * developed countries * early warning indicators
Kód oboru RIV: AH - Ekonomie
Impakt faktor: 1.506, rok: 2014

We construct and explore a new quarterly dataset covering crisis episodes in 40 developed countries over 1970–2010. First, we present stylized facts on banking, debt, and currency crises. Using panel vector autoregression we find that banking and debt crises are interrelated and both typically precede currency crises, but not vice versa. Second, on a reduced sample we try to identify early warning indicators of crises specific to developed economies, accounting for model uncertainty by means of Bayesian model averaging. We also employ a signaling approach to derive the threshold value for the best single indicator (domestic private credit), and finally we provide a composite early warning index that further increases the usefulness of the model.
Trvalý link: http://hdl.handle.net/11104/0244164