Identifying Banking Crises Using Money Market Pressure: New Evidence For A Large Set of Countries
AbstractWe construct a money market pressure index based on central bank reserves and the short-term nominal interest rate to identify banking crises, thereby extending the index proposed by Von Hagen and Ho (2007). We compare the crises identified by both indices with banking crises according to the benchmark of Laeven and Valencia (2010). Both indices identify more crises than these benchmarks. The crises identified by our index are more in line with the benchmark than the crises identified by the Von Hagen and Ho index, while our index also gives fewer false signals.
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Bibliographic InfoPaper provided by CIRANO in its series CIRANO Working Papers with number 2013s-41.
Date of creation: 01 Oct 2013
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banking crises; money market pressure index;
Other versions of this item:
- Zhongbo Jing & Jakob de Haan & Jan Jacobs & Haizhen Yang, 2013. "Identifying Banking Crises Using Money Market Pressure: New Evidence For a Large Set of Countries," DNB Working Papers 397, Netherlands Central Bank, Research Department.
- C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
This paper has been announced in the following NEP Reports:
- NEP-ALL-2014-04-18 (All new papers)
- NEP-BAN-2014-04-18 (Banking)
- NEP-CBA-2014-04-18 (Central Banking)
- NEP-MAC-2014-04-18 (Macroeconomics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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