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The frequency of banking crises in a dynamic setting: a discrete-time duration approach

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  • Vincent BouvatierBy

Abstract

This paper focuses on descriptive features of banking crises. More than two centuries of banking crises are considered, and a discrete-time duration model is estimated to identify the hazard function characterizing banking crises. The model makes it possible to identify a time-dependence effect in the occurrence of banking crises. The time dependence that emerges from the hazard function is potentially generated by a wide variety of structural and cyclical factors. In this paper, the hazard function serves a descriptive purpose and provides two insights into the frequency of banking crises. First, it shows the extent to which policymakers failed in muting the exposure to a new banking crisis during the two decades following a banking crisis. Second, it provides quantitative evidence that graduation from banking crises is elusive.

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  • Vincent BouvatierBy, 2017. "The frequency of banking crises in a dynamic setting: a discrete-time duration approach," Oxford Economic Papers, Oxford University Press, vol. 69(4), pages 1078-1100.
    • Handle: RePEc:oup:oxecpp:v:69:y:2017:i:4:p:1078-1100.
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    More about this item

    JEL classification:

    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • 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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