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

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F14%3A10281351" target="_blank" >RIV/00216208:11230/14:10281351 - isvavai.cz</a>

  • Alternative codes found

    RIV/67985998:_____/14:00431367 RIV/00216208:11640/14:00439528

  • Result on the web

    <a href="http://www.sciencedirect.com/science/article/pii/S1572308914000606" target="_blank" >http://www.sciencedirect.com/science/article/pii/S1572308914000606</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.1016/j.jfs.2014.07.001" target="_blank" >10.1016/j.jfs.2014.07.001</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

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

  • Original language description

    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. Banking crises are the most costly in terms of the overall output loss, and output takes about six years to recover. 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. The most consistent result across the various specifications and time horizons is that significant growth of domestic private credit precedes banking crises, while rising money market rates and global corporate spreads are also leading indicators worth monitoring. For currency crises, we also corroborate the role of rising domestic private credit and mone

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

  • CEP classification

    AH - Economics

  • OECD FORD branch

Result continuities

  • Project

    <a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>

  • Continuities

    S - Specificky vyzkum na vysokych skolach

Others

  • Publication year

    2014

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    Journal of Financial Stability

  • ISSN

    1572-3089

  • e-ISSN

  • Volume of the periodical

    15

  • Issue of the periodical within the volume

    December

  • Country of publishing house

    US - UNITED STATES

  • Number of pages

    17

  • Pages from-to

    1-17

  • UT code for WoS article

    000346059800001

  • EID of the result in the Scopus database