Number of the records: 1
Banking, debt, and currency crises in developed countries: stylized facts and early warning indicators
- 1.0439528 - NHU-C 2015 RIV US eng J - Journal Article
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
Institutional support: PRVOUK-P23
Keywords : crises * developed countries * early warning indicators
Subject RIV: AH - Economics
Impact factor: 1.506, year: 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.
Permanent Link: http://hdl.handle.net/11104/0244164
Number of the records: 1