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How Useful are Regime-Switching Models in Banking Crises Identification?

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  • Tai-kuang Ho

Abstract

We 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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File URL: http://repec.org/esFEAM04/up.23393.1081315880.pdf
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Bibliographic Info

Paper provided by Econometric Society in its series Econometric Society 2004 Far Eastern Meetings with number 764.

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Date of creation: 11 Aug 2004
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Handle: RePEc:ecm:feam04:764

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Keywords: Markov-switching model; choice of crisis threshold; banking crises identification;

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Cited by:
  1. Milan Šimáček, 2012. "Financial Stress Indexes for the Czech Republic and Hungary," Politická ekonomie, University of Economics, Prague, vol. 2012(5), pages 614-634.
  2. TCHANA TCHANA, Fulbert, 2008. "The Empirics of Banking Regulation," MPRA Paper 9299, University Library of Munich, Germany.

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