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Money Market Pressure and the Determinants of Banking Crises

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Author Info
JÜRGEN VON HAGEN
TAI-KUANG HO

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Abstract

This article develops an index of money market pressure to identify banking crises. We define banking crises as periods in which there is excessive demand for liquidity in the money market. We begin with the theoretical foundation of this new method. With the newly defined crisis episodes, we examine the determinants of banking crises using data complied from 47 countries. We find that slowdown of real GDP, lower real interest rates, extremely high inflation, large fiscal deficits, and over-valued exchange rates tend to precede banking crises. The effects of monetary base growth on the probability of banking crises are negligible. Copyright 2007 The Ohio State University.

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1538-4616.2007.00057.x
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Publisher Info
Article provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.

Volume (Year): 39 (2007)
Issue (Month): 5 (08)
Pages: 1037-1066
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Handle: RePEc:mcb:jmoncb:v:39:y:2007:i:5:p:1037-1066

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

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  1. TCHANA TCHANA , Fulbert, 2008. "Regulation and Banking Stability: A Survey of Empirical Studies," MPRA Paper 9298, University Library of Munich, Germany, revised 30 May 2008. [Downloadable!]
  2. Jurgen Von Hagen & Iulia Siedschlag, 2008. "Managing Capital Flows: Experiences from Central and Eastern Europe," Papers WP234, Economic and Social Research Institute (ESRI). [Downloadable!]
  3. Andrew K. Rose, 2006. "A Stable International Monetary System Emerges: Inflation Targeting is Bretton Woods, Reversed," NBER Working Papers 12711, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  4. Romain Ranciere & Aaron Tornell & Frank Westermann, 2005. "Systemic Crises and Growth," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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  5. Kerstin Bernoth & Andreas Pick, 2009. "Forecasting the fragility of the banking and insurance sector," DNB Working Papers 202, Netherlands Central Bank, Research Department. [Downloadable!]
  6. Klüh, Ulrich, 2005. "Safety Net Design and Systemic Risk: New Empirical Evidence," Discussion Papers in Economics 662, University of Munich, Department of Economics. [Downloadable!]
  7. Aaron Tornell, 2005. "Systemic Crises and Growth (September 2006)," UCLA Economics Online Papers 359, UCLA Department of Economics. [Downloadable!]
  8. Gianni De Nicoló & John H. Boyd & Elena Loukoianova, 2009. "Banking Crises and Crisis Dating: Theory and Evidence," IMF Working Papers 09/141, International Monetary Fund. [Downloadable!]
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