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Were Financial Crises Predictable?

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  • Canova, Fabio

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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Bibliographic 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

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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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Cited by:
  1. George Monokroussos, 2009. "A Classical MCMC Approach to the Estimation of Limited Dependent Variable Models of Time Series," Discussion Papers 09-07, University at Albany, SUNY, Department of Economics.
  2. Carree, Martin A., 2003. "A hazard rate analysis of Russian commercial banks in the period 1994-1997," Economic Systems, Elsevier, vol. 27(3), pages 255-269, September.
  3. Ilhyock Shim & Goetz von Peter, 2007. "Distress selling and asset market feedback," BIS Working Papers 229, Bank for International Settlements.
  4. Fratianni Michele, 2008. "Financial Crises, Safety Nets and Regulation," Rivista italiana degli economisti, Società editrice il Mulino, issue 2, pages 169-208.
  5. Sugawara, Naotaka & Zalduendo, Juan, 2013. "Credit-less recoveries : neither a rare nor an insurmountable challenge," Policy Research Working Paper Series 6459, The World Bank.
  6. Diamondopoulos, John, 2012. "To what extent are financial crises comparable and thus predictable?," MPRA Paper 45668, University Library of Munich, Germany.
  7. Hoag, Christopher, 2005. "Deposit drains on "interest-paying" banks before financial crises," Explorations in Economic History, Elsevier, vol. 42(4), pages 567-585, October.
  8. Michele FRATIANNI, 2008. "Financial Crises, Safety Nets and Regulation," Rivista Italiana degli Economisti, SIE - Societa' Italiana degli Economisti (I), vol. 13(2), pages 169-208, August.
  9. Xavier De Scheemaekere & Kim Oosterlinck & Ariane Szafarz, 2012. "Addressing Economic Crises: The Reference-Class Problem," Working Papers CEB 12-024, ULB -- Universite Libre de Bruxelles.
  10. Miller, V., 1998. "Domestic bank runs and speculative attacks on foreign currencies," Journal of International Money and Finance, Elsevier, vol. 17(2), pages 331-338, April.
  11. Carree, M.A., 2000. "Interest and Hazard Rates of Russian Saving Banks," ERIM Report Series Research in Management ERS-2000-26-STR, 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 University Rotterdam.

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