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 Netherlands Central Bank, Research Department in its series DNB Working Papers with number 397.
Date of creation: Oct 2013
Date of revision:
banking crises; money market pressure index;
Other versions of this item:
- Zhongbo Jing & Jakob de Haan & Jan P. A. M. Jacobs & Haizhen Yang, 2013. "Identifying Banking Crises Using Money Market Pressure: New Evidence For A Large Set of Countries," CIRANO Working Papers 2013s-41, CIRANO.
- 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-2013-11-14 (All new papers)
- NEP-BAN-2013-11-14 (Banking)
- NEP-CBA-2013-11-14 (Central Banking)
- NEP-MAC-2013-11-14 (Macroeconomics)
- NEP-MON-2013-11-14 (Monetary Economics)
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