Banking and Currency Crises: Differential Diagnostics for Developed Countries
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F17%3A10329379" target="_blank" >RIV/00216208:11230/17:10329379 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1002/ijfe.1570" target="_blank" >http://dx.doi.org/10.1002/ijfe.1570</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1002/ijfe.1570" target="_blank" >10.1002/ijfe.1570</a>
Alternative languages
Result language
angličtina
Original language name
Banking and Currency Crises: Differential Diagnostics for Developed Countries
Original language description
We identify a set of 'rules of thumb' that characterize economic, financial and structural conditions preceding the onset of banking and currency crises in 36 advanced economies over 1970-2010. We use the classification and regression tree methodology and its random forest extension, which permits the detection of key variables driving binary crisis outcomes, allows for interactions among key variables and determines critical tipping points. We distinguish between basic country conditions, country structural characteristics and international developments. We find that crises are more varied than they are similar. For banking crises, we find that low net interest rate spreads in the banking sector and a shallow, or inverted, yield curve is their most important forerunners in the short term. In the longer term, it is high house price inflation. For currency crises, high domestic short-term rates coupled with overvalued exchange rates are the most powerful short-term predictors. We find that both country structural characteristics and international developments are relevant banking-crisis predictors. Currency crises, however, seem to be driven more by country idiosyncratic, short-term developments. We find that some variables, such as the domestic credit gap, provide important unconditional signals, but it is difficult to use them as conditional signals and, more importantly, to find relevant threshold values.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory
Result continuities
Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
International Journal of Finance and Economics
ISSN
1076-9307
e-ISSN
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Volume of the periodical
22
Issue of the periodical within the volume
1
Country of publishing house
GB - UNITED KINGDOM
Number of pages
24
Pages from-to
44-67
UT code for WoS article
000394161500004
EID of the result in the Scopus database
2-s2.0-84997815830