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Banking crises: Identifying dates and determinants

Author

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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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    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.
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    6. Olson, Dennis & Zoubi, Taisier, 2017. "Convergence in bank performance for commercial and Islamic banks during and after the Global Financial Crisis," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 71-87.
    7. Kittima Ngamvilaikorn & Suntharee Lhaopadchan & Sirimon Treepongkaruna, 2024. "Corporate governance, social responsibility and sustainability commitments by banks: Impacts on credit risk and performance," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 31(6), pages 5109-5121, November.
    8. Vera Ivanyuk, 2023. "Development of an Econometric Model of Crisis and Assessment of the Crisis Risk," Mathematics, MDPI, vol. 11(22), pages 1-29, November.
    9. Xing Li & Xiangyu Ge & Cong Chen, 2022. "Several explorations on how to construct an early warning system for local government debt risk in China," PLOS ONE, Public Library of Science, vol. 17(2), pages 1-27, February.
    10. Ashraf, Badar Nadeem, 2018. "Do trade and financial openness matter for financial development? Bank-level evidence from emerging market economies," Research in International Business and Finance, Elsevier, vol. 44(C), pages 434-458.
    11. Shijaku, Gerti, 2016. "Does Primary Sovereignty Risk Matter for Bank Fragility? Evidence from Albanian Banking System," MPRA Paper 79097, University Library of Munich, Germany.
    12. Vera Ivanyuk, 2021. "Modeling of Crisis Processes in the Financial Market," Economies, MDPI, vol. 9(4), pages 1-17, October.
    13. Gerti Shijaku, 2018. "Does Primary Sovereignty Risk Matter for Bank Stability? Evidence from the Albanian Banking System," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 16(2), pages 115-145.
    14. 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.
    15. Elnahass, Marwa & Trinh, Vu Quang & Li, Teng, 2021. "Global banking stability in the shadow of Covid-19 outbreak," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    16. Raphaël Cardot-Martin & Fabien Labondance & Catherine Refait-Alexandre, 2022. "Capital ratios and banking crises in the European Union," International Economics, CEPII research center, issue 172, pages 389-402.
    17. 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.

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    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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