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

Kód výsledku v 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>

Nalezeny alternativní kódy

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

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

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

Popis výsledku anglicky

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

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

—

Projekt

<a href="/cs/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamické modely v ekonomii</a><br>

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2014

Kód důvěrnosti údajů

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

Název periodika

Journal of Financial Stability

ISSN

1572-3089

e-ISSN

—

Svazek periodika

15

Číslo periodika v rámci svazku

December

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

17

Strana od-do

1-17

Kód UT WoS článku

000346059800001

EID výsledku v databázi Scopus

—