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Determining the causes of bank runs in Argentina during the crisis of 2001

  • George McCandless

    ()

    (Central Bank of Argentina)

  • Maria Florencia Gabrielli

    ()

    (Central Bank of Argentina)

  • María Josefina Rouillet

    ()

    (Central Bank of Argentina)

Registered author(s):

    We use monthly panel data information on Argentine banks to try to explain the variation in deposits during the 2001 crisis. The variables used are related to the solvency condition of the bank, whether it is public or private, interest rates for each bank and macroeconomic variables referred to general economic conditions. We use our empirical results to attempt to determine whether the bank run is best explained by a self-fulfilling prophecy theory or if fundamentals matter. We find that bank fundamentals show statistically significant coefficients, and with expected sign, providing evidence in favor of the solvency theory.

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    File URL: http://www.rae-ear.org/index.php/rae/article/view/25
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    Article provided by Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines in its journal Revista de Analisis Economico.

    Volume (Year): 18 (2003)
    Issue (Month): 1 (June)
    Pages: 87-102

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    Handle: RePEc:ila:anaeco:v:18:y:2003:i:1:p:87-102
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    1. Richard Blundell & Steve Bond, 1999. "GMM estimation with persistent panel data: an application to production functions," IFS Working Papers W99/04, Institute for Fiscal Studies.
    2. Arellano, Manuel & Bond, Stephen, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," Review of Economic Studies, Wiley Blackwell, vol. 58(2), pages 277-97, April.
    3. Diamond, Douglas W & Dybvig, Philip H, 1983. "Bank Runs, Deposit Insurance, and Liquidity," Journal of Political Economy, University of Chicago Press, vol. 91(3), pages 401-19, June.
    4. Xavier Freixas & Jean-Charles Rochet, 1997. "Microeconomics of Banking," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262061937, June.
    5. Bond, Stephen & Bowsher, Clive & Windmeijer, Frank, 2001. "Criterion-based inference for GMM in autoregressive panel data models," Economics Letters, Elsevier, vol. 73(3), pages 379-388, December.
    6. Richard Blundell & Steve Bond & Frank Windmeijer, 2000. "Estimation in dynamic panel data models: improving on the performance of the standard GMM estimator," IFS Working Papers W00/12, Institute for Fiscal Studies.
    7. Charles W. Calomiris & Gary Gorton, 1991. "The Origins of Banking Panics: Models, Facts, and Bank Regulation," NBER Chapters, in: Financial Markets and Financial Crises, pages 109-174 National Bureau of Economic Research, Inc.
    8. Boozer, Michael A., 1997. "Econometric Analysis of Panel Data Badi H. Baltagi Wiley, 1995," Econometric Theory, Cambridge University Press, vol. 13(05), pages 747-754, October.
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