Banking, debt, and currency crises: early warning indicators for developed countries

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11640%2F12%3A00387961" target="_blank" >RIV/00216208:11640/12:00387961 - isvavai.cz</a>
Result on the web
<a href="http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1485.pdf" target="_blank" >http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1485.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Banking, debt, and currency crises: early warning indicators for developed countries
Original language description
We construct and explore a new quarterly dataset covering crisis episodes in 40 developed countries over 1970?2010. First, we examine stylized facts of banking, debt, and currency crises. Banking turmoil was most frequent in developed economies. Using panel vector autoregression, we confirm that currency and debt crises are typically preceded by banking crises, but not vice versa. Banking crises are also the most costly in terms of the overall output loss, and output takes about six years to recover. Second, we try to identify early warning indicators of crises specific to developed economies, accounting for model uncertainty by means of Bayesian model averaging. Our results suggest that onsets of banking and currency crises tend to be preceded by booms in economic activity. In particular, we find that growth of domestic private credit, increasing FDI inflows, rising money market rates as well as increasing world GDP and inflation were common leading indicators of banking crises. Curre
Czech name
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Czech description
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Project
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Continuities
S - Specificky vyzkum na vysokych skolach<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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