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The internationalisation of financial crises: Banking and currency crises 1883-2008

  • Lestano
  • Jacobs, Jan
  • Dungey, Mardi

    (Groningen University)

Financial crises are high cost events which can transmit across international borders. Using data from 1883 to 2008 this paper develops a means of mapping changes in the degree of international synchronisation of banking and currency crises through a formal concordance index. This index speci cally accounts for the typically low incidence and potential serial correlation of crisis data. The results show that banking crises were highly internationalised at the beginning of the 20th century, and became far less so in the strong regulatory environment prevailing after the Depression until the 1980s. A strong increase in the synchronicity of international banking crises is revealed during the late 20th and early 21st century. Currency crises began the century as more idioysncratic, but have tended to become more synchronised over the 115 year sample.

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File URL: http://irs.ub.rug.nl/ppn/326079238
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Paper provided by University of Groningen, Research Institute SOM (Systems, Organisations and Management) in its series Research Report with number 10002.

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Date of creation: 2010
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Handle: RePEc:dgr:rugsom:10002
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  1. Graciela L. Kaminsky & Carmen Reinhart, 2003. "The Center and the Periphery: The Globalization of Financial Turmoil," NBER Working Papers 9479, National Bureau of Economic Research, Inc.
  2. repec:cup:cbooks:9780521605076 is not listed on IDEAS
  3. Reinhart, Carmen & Kaminsky, Graciela, 1999. "The twin crises: The causes of banking and balance of payments problems," MPRA Paper 14081, University Library of Munich, Germany.
  4. repec:cup:cbooks:9780521843898 is not listed on IDEAS
  5. Andrew K. Rose & Mark M. Spiegel, 2009. "Cross-country causes and consequences of the 2008 crisis: early warning," Working Paper Series 2009-17, Federal Reserve Bank of San Francisco.
  6. Harding, Don & Pagan, Adrian, 2006. "Synchronization of cycles," Journal of Econometrics, Elsevier, vol. 132(1), pages 59-79, May.
  7. Carmen M. Reinhart & Kenneth S. Rogoff, 2009. "This Time Is Different: Eight Centuries of Financial Folly," Economics Books, Princeton University Press, edition 1, volume 1, number 8973.
  8. Reuven Glick & Ramon Moreno & Mark Spiegel, 2001. "Financial crises in emerging markets," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue mar.23.
  9. Morris Goldstein & Carmen M. Reinhart, 2000. "Assessing Financial Vulnerability: An Early Warning System for Emerging Markets," Peterson Institute Press: All Books, Peterson Institute for International Economics, number 100, May.
  10. Vance L. Martin & Mardi Dungey, 2007. "Unravelling financial market linkages during crises," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 89-119.
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