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Were Financial Crises Predictable?

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Author Info
Canova, Fabio

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Abstract

This paper empirically investigates the nature of financial crises in the United States before 1914. It attempts to determine whether crises were statistically similar, predictable, and had a common generating mechanism. Using probit and hazard models and out-of-sample criteria, it is shown there are variables that explain movements in the probability of crises and that the probability of crises is seasonal. Two crises were predictable but in the other six episodes every forecasting model examined failed. These results suggest that financial crises were not all statistically alike and that their generation mechanisms differed. Copyright 1994 by Ohio State University Press.

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File URL: http://links.jstor.org/sici?sici=0022-2879%28199402%2926%3A1%3C102%3AWFCP%3E2.0.CO%3B2-1&origin=bc
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Publisher Info
Article provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.

Volume (Year): 26 (1994)
Issue (Month): 1 (February)
Pages: 102-24
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:mcb:jmoncb:v:26:y:1994:i:1:p:102-24

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879

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  1. Konstandina Natalia, 2006. "Probability of Bank Failure: The Russian Case," EERC Working Paper Series 06-01e, EERC Research Network, Russia and CIS. [Downloadable!]
  2. Michele Fratianni, 2008. "Financial Crises, Safety Nets, and Regulation," Working Papers 2008-08, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy. [Downloadable!]
    Other versions:
  3. Carree, M.A., 2000. "Interest and Hazard Rates of Russian Saving Banks," Research Paper ERS-2000-26-STR Revision_, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
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This page was last updated on 2009-11-12.

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