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Looking for a Needle in a Haystack: Revisiting the Cross-country Causes of the 2008–9 Crisis by Bayesian Model Averaging

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  • Tai-kuang Ho

Abstract

type="main" xml:id="ecca12125-abs-0001"> In this paper we explore the cross-country variation in the output impact of the global financial crisis in 2008–9. We use the extensive dataset of Rose and Spiegel but control for the problems of model uncertainty and outliers by using a variety of Bayesian model averaging techniques. We find first that cross-country differences in crisis intensity can be explained by macroeconomic vulnerabilities. Second, ignoring model uncertainty can lead to incorrect inferences. Third, international trade linkages do matter.

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  • Tai-kuang Ho, 2015. "Looking for a Needle in a Haystack: Revisiting the Cross-country Causes of the 2008–9 Crisis by Bayesian Model Averaging," Economica, London School of Economics and Political Science, vol. 82(328), pages 813-840, October.
    • Handle: RePEc:bla:econom:v:82:y:2015:i:328:p:813-840
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    File URL: http://hdl.handle.net/10.1111/ecca.2015.82.issue-328
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    Cited by:

    1. Martin Bruns & Tigran Poghosyan, 2018. "Leading indicators of fiscal distress: evidence from extreme bounds analysis," Applied Economics, Taylor & Francis Journals, vol. 50(13), pages 1454-1478, March.
    2. Chen Ray-Bing & Lee Kuo-Jung & Chen Yi-Chi & Chu Chi-Hsiang, 2017. "On the determinants of the 2008 financial crisis: a Bayesian approach to the selection of groups and variables," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(5), pages 1-17, December.
    3. Honda, Jiro & Tapsoba, René & Issifou, Ismael, 2022. "When do we repair the roof? Insights from responses to fiscal crisis early warning signals," International Economics, Elsevier, vol. 172(C), pages 349-367.
    4. Mark F. J. Steel, 2020. "Model Averaging and Its Use in Economics," Journal of Economic Literature, American Economic Association, vol. 58(3), pages 644-719, September.
    5. Kuo-Jung Lee & Yi-Chi Chen, 2018. "Of needles and haystacks: revisiting growth determinants by robust Bayesian variable selection," Empirical Economics, Springer, vol. 54(4), pages 1517-1547, June.

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