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Explaining and Predicting Bank Failure in Argentina Using Duration Models

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Author Info

  • Marcelo Dabos

    (Department of Economics, Universidad de San Andres)

  • Walter Sosa Escudero

    ()
    (Department of Economics, Universidad de San Andres)

Abstract

This paper studies the role played by several financial and economic indicators in determining the process of bank failure in Argentina after the Mexican crisis known as the “tequila effect”. Due to the relative scarcity of previous studies, this paper priorizes the use of semiparametric and non-parametric methods which allow us to measure the effect of explanatory variables in the process of bank failure together with duration dependence effects. The dynamic of bank failures can be fairly characterized by observable factors, which discards the possibility that it had been governed by contagion processes solely. The non-monotonocity of the implicit hazard rate suggests that there were contagion effects, and that they had a strong influence in the first 200 days of the crisis.

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File URL: ftp://webacademicos.udesa.edu.ar/pub/econ/doc26.pdf
File Function: First version, 2000
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Bibliographic Info

Paper provided by Universidad de San Andres, Departamento de Economia in its series Working Papers with number 26.

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Length: 39 pages
Date of creation: Apr 2000
Date of revision: Apr 2000
Handle: RePEc:sad:wpaper:26

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Related research

Keywords: bank failure; Argentina; duration models;

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Cited by:
  1. Alejandro Gaytán & Christian A. Johnson, 2002. "A Review of the Literature on Early Warning Systems for Banking Crises," Working Papers Central Bank of Chile, Central Bank of Chile 183, Central Bank of Chile.
  2. Roberto Cortes Conde, 2008. "Spanish America Colonial Patterns: The Rio de La Plata," Working Papers, Universidad de San Andres, Departamento de Economia 96, Universidad de San Andres, Departamento de Economia, revised Mar 2008.
  3. Christian A. Johnson, 2005. "Modelos de alerta temprana para pronosticar crisis bancarias: desde la extracción de señales a las redes neuronales," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines, vol. 20(1), pages 95-121, June.
  4. Adriana Soares Sales & Maria Eduarda Tannuri-Pianto, 2007. "Explaining Bank Failures in Brazil: Micro, Macro and Contagion Effects (1994-1998)," Working Papers Series, Central Bank of Brazil, Research Department 147, Central Bank of Brazil, Research Department.
  5. Vygodina, Anna V. & Zorn, Thomas S. & DeFusco, Richard, 2008. "Asymmetry in the effects of economic fundamentals on rising and falling exchange rates," International Review of Financial Analysis, Elsevier, Elsevier, vol. 17(4), pages 728-746, September.

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