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How Useful are Regime-Switching Models in Banking Crises Identification?

  • Tai-kuang Ho

We employ a regime-switching approach to the identification of banking crises. This approach reduces the arbitrariness in crisis identification by endogenizing the choices of crisis threshold and crisis duration. Using a sample of 47 countries, we show that this approach also subject to several same problems as the common procedures. The method is sample-dependent, tends to invent much more crises, and is less robust to different model specifications. We conclude that a bind application of regime switching model to crisis identification is questionable

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Paper provided by Econometric Society in its series Econometric Society 2004 Far Eastern Meetings with number 764.

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Date of creation: 11 Aug 2004
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Handle: RePEc:ecm:feam04:764
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