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Quantitative analysis of crisis: crisis identification and causality

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Author Info
Ishihara, Yoichiro
Abstract

Studies use different conceptual and operational definitions of crises. The different crisis identifications can lead to inconsistent conclusions and policy formulation even if the same analytical framework is applied. Also, most studies focus on only a few types of crises. This narrow focus on crises may not capture the multidimensionality of crises. Seven crisis types are analyzed, namely (1) liquidity type banking crises, (2) solvency type banking crises, (3) balance of payments crises, (4) currency crises, (5) debt crises, (6) growth rate crises, and (7) financial crises. Crisis data were collected from 15 emerging economies in 1980-2002 on a quarterly basis. The crisis identification exercise finds that multidimensionality in which different crisis types occur in short periods is one of the most important characteristics of recent crises. Further, the Granger causality tests in five Asian economies (Indonesia, the Republic of Korea, Malaysia, the Philippines, and Thailand) find that currency crises tend to trigger other types of crises, and therefore exchange rate management is essential.

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Publisher Info
Paper provided by The World Bank in its series Policy Research Working Paper Series with number 3598.

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Date of creation: 01 May 2005
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Handle: RePEc:wbk:wbrwps:3598

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Related research
Keywords: Governance Indicators; Economic Theory&Research; Macroeconomic Management; Banks&Banking Reform; Financial Crisis Management&Restructuring;

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