How Useful are Regime-Switching Models in Banking Crises Identification?
AbstractWe employ a regime-switching approach to the identification of banking crises. This approach reduces the arbitrariness in crisis identification by endogenizing the choices of crisis threshold and crisis duration. Using a sample of 47 countries, we show that this approach also subject to several same problems as the common procedures. The method is sample-dependent, tends to invent much more crises, and is less robust to different model specifications. We conclude that a bind application of regime switching model to crisis identification is questionable
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Bibliographic InfoPaper provided by Econometric Society in its series Econometric Society 2004 Far Eastern Meetings with number 764.
Date of creation: 11 Aug 2004
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Markov-switching model; choice of crisis threshold; banking crises identification;
Find related papers by JEL classification:
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
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- NEP-ALL-2004-10-30 (All new papers)
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- Milan Šimáček, 2012. "Financial Stress Indexes for the Czech Republic and Hungary," Politická ekonomie, University of Economics, Prague, vol. 2012(5), pages 614-634.
- TCHANA TCHANA, Fulbert, 2008.
"The Empirics of Banking Regulation,"
9299, University Library of Munich, Germany.
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