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Identifying Banking Crises Using Money Market Pressure: New Evidence For A Large Set of Countries

Listed author(s):
  • Zhongbo Jing
  • Jakob de Haan
  • Jan P. A. M. Jacobs
  • Haizhen Yang

We construct a money market pressure index based on central bank reserves and the short-term nominal interest rate to identify banking crises, thereby extending the index proposed by Von Hagen and Ho (2007). We compare the crises identified by both indices with banking crises according to the benchmark of Laeven and Valencia (2010). Both indices identify more crises than these benchmarks. The crises identified by our index are more in line with the benchmark than the crises identified by the Von Hagen and Ho index, while our index also gives fewer false signals.

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File URL: http://www.cirano.qc.ca/files/publications/2013s-41.pdf
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Paper provided by CIRANO in its series CIRANO Working Papers with number 2013s-41.

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Length: 52 pages
Date of creation: 01 Oct 2013
Handle: RePEc:cir:cirwor:2013s-41
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  23. Luc Laeven & Fabian Valencia, 2010. "Resolution of Banking Crises; The Good, the Bad, and the Ugly," IMF Working Papers 10/146, .
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