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Explaining and predicting bank failure using duration models: the case of Argentina after the Mexican crisis

Author

Listed:
  • Marcelo Dabós

    (Universidad de San Andrés)

  • Walter Sosa Escudero

    (Universidad de San Andrés)

Abstract

This paper studies the role played by several bank specific financial indicators in determining the process of bank failure in Argentina after the Mexican crisis known as the "tequila effect". Due to the relative scarcity of previous studies, this paper priorizes the use of semiparametric and non-parametric methods which allow us to measure the effect of bank specific financial explanatory variables in the process of bank failure together with duration dependence effects without the need of arbitrary and possibly unrealistic assumptions. The dynamic of bank failures can be fairly characterized by observable factors, which discards the possibility that it had been governed by contagion processes solely. The non-monotonocity of the implicit hazard rate suggests that there were contagion effects, and that they had a strong influence in the first 200 days of the crisis.

Suggested Citation

  • Marcelo Dabós & Walter Sosa Escudero, 2004. "Explaining and predicting bank failure using duration models: the case of Argentina after the Mexican crisis," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 19(1), pages 31-49, June.
    • Handle: RePEc:ila:anaeco:v:19:y:2004:i:1:p:31-49
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    References listed on IDEAS

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    Cited by:

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    2. Wong, Jim & Wong, Tak-Chuen & Leung, Phyllis, 2010. "Predicting banking distress in the EMEAP economies," Journal of Financial Stability, Elsevier, vol. 6(3), pages 169-179, September.
    3. Evžen Kočenda & Ichiro Iwasaki, 2022. "Bank survival around the world: A meta‐analytic review," Journal of Economic Surveys, Wiley Blackwell, vol. 36(1), pages 108-156, February.
    4. Kočenda, Evžen & Iwasaki, Ichiro, 2020. "Bank survival in Central and Eastern Europe," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 860-878.
    5. Gutiérrez López, Cristina & Abad González, Julio, 2014. "¿Permitían los estados financieros predecir los resultados de los tests de estrés de la banca española? Una aplicación del modelo logit," Revista de Contabilidad - Spanish Accounting Review, Elsevier, vol. 17(1), pages 58-70.
    6. Masami Imai, 2009. "Political Influence and Declarations of Bank Insolvency in Japan," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(1), pages 131-158, February.
    7. Cristina Gutiérrez-López & Julio Abad-González, 2020. "Sustainability in the Banking Sector: A Predictive Model for the European Banking Union in the Aftermath of the Financial Crisis," Sustainability, MDPI, vol. 12(6), pages 1-25, March.
    8. Zeineb Affes & Rania Hentati-Kaffel, 2016. "Predicting US banks bankruptcy: logit versus Canonical Discriminant analysis," Post-Print halshs-01281948, HAL.
    9. Maghyereh, Aktham I. & Awartani, Basel, 2014. "Bank distress prediction: Empirical evidence from the Gulf Cooperation Council countries," Research in International Business and Finance, Elsevier, vol. 30(C), pages 126-147.
    10. Zeineb Affes & Rania Hentati-Kaffel, 2016. "Predicting US banks bankruptcy: logit versus Canonical Discriminant analysis," Documents de travail du Centre d'Economie de la Sorbonne 16016, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    11. Abad-González, Julio & Gutiérrez-López, Cristina, 2016. "Modelización de la solvencia bancaria en escenarios adversos: aplicación a los «PIIGS»," Revista de Contabilidad - Spanish Accounting Review, Elsevier, vol. 19(2), pages 227-238.
    12. Carlevaro Emiliano A., 2023. "Contagion of bank failures through the interbank network in Argentina," Asociación Argentina de Economía Política: Working Papers 4631, Asociación Argentina de Economía Política.
    13. Zeineb Affes & Rania Hentati-Kaffel, 2019. "Predicting US Banks Bankruptcy: Logit Versus Canonical Discriminant Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 199-244, June.
    14. Coen, Jamie & Francis, William & Rostom, May, 2017. "The determinants of UK credit union failure," Bank of England working papers 658, Bank of England.
    15. Francis, William, 2014. "UK deposit-taker responses to the financial crisis: what are the lessons?," Bank of England working papers 501, Bank of England.

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    More about this item

    Keywords

    bank failure; duration models; argentina;
    All these keywords.

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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