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Banking crises: Identifying dates and determinants

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  • Jutasompakorn, Pearpilai
  • Brooks, Robert
  • Brown, Christine
  • Treepongkaruna, Sirimon

Abstract

This study focuses on banking crisis identification and determinants. It identifies banking crisis dates over the period 1995–2010 using market information embedded in banking stocks via a Markov switching autoregressive model, which captures regime shifting behaviour in both the mean and variance of returns for bull, bear and crisis regimes. Using a panel logit model over the period 2002–2009, we identify a banking liquidity measure, proxied by the LIBOR-OIS spread as a new determinant of banking crises. This finding suggests that increasing financial integration can make funding liquidity pressures readily turn into issues of systemic insolvency.

Suggested Citation

  • Jutasompakorn, Pearpilai & Brooks, Robert & Brown, Christine & Treepongkaruna, Sirimon, 2014. "Banking crises: Identifying dates and determinants," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 150-166.
  • Handle: RePEc:eee:intfin:v:32:y:2014:i:c:p:150-166
    DOI: 10.1016/j.intfin.2014.05.004
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    References listed on IDEAS

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    Cited by:

    1. repec:eee:ememar:v:32:y:2017:i:c:p:168-189 is not listed on IDEAS
    2. Alexander Guarín-López & Ignacio Lozano-Espitia, 2016. "Credit Funding and Banking Fragility: An Empirical Analysis for Emerging Economies," BORRADORES DE ECONOMIA 014306, BANCO DE LA REPÚBLICA.
    3. Xu, Ying & La, Hai Anh, 2015. "Foreign banks and international shock transmission: Does bank ownership still matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 200-216.
    4. Focacci, Antonio, 2017. "Controversial curves of the economy: An up-to-date investigation of long waves," Technological Forecasting and Social Change, Elsevier, vol. 116(C), pages 271-285.
    5. Fendel Ralf & Stremmel Hanno, 2016. "Characteristics of Banking Crises: A Comparative Study with Geographical Contagion," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 236(3), pages 349-388, May.
    6. repec:eee:quaeco:v:65:y:2017:i:c:p:71-87 is not listed on IDEAS
    7. Shijaku, Gerti, 2016. "Does Primary Sovereignty Risk Matter for Bank Fragility? Evidence from Albanian Banking System," MPRA Paper 79097, University Library of Munich, Germany.

    More about this item

    Keywords

    Banking crisis; Crisis dates; Markov switching; Determinants; Liquidity shortage;

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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