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Banking, debt, and currency crises in developed countries: stylized facts and early warning indicators
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SYSNO ASEP 0439528 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Článek ve WOS Title Banking, debt, and currency crises in developed countries: stylized facts and early warning indicators Author(s) Babecký, J. (CZ)
Havránek, T. (CZ)
Matějů, Jakub (NHU-C) RID
Rusnák, M. (CZ)
Šmídková, K. (CZ)
Vašíček, B. (CZ)Source Title Journal of Financial Stability. - : Elsevier - ISSN 1572-3089
Roč. 15, December (2014), s. 1-17Number of pages 17 s. Publication form Print - P Language eng - English Country US - United States Keywords crises ; developed countries ; early warning indicators Subject RIV AH - Economics Institutional support NHU-C - PRVOUK-P23 UT WOS 000346059800001 EID SCOPUS 84907690553 DOI 10.1016/j.jfs.2014.07.001 Annotation 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. Workplace Economics Institute - CERGE Contact Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122 Year of Publishing 2015
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