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
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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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
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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
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