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Contagion in Banking Crises: A Spatial Probit Model

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Listed:
  • Andrea Amaral
  • Margarida Abreu
  • Victor Mendes

Abstract

We use a spatial Probit model to study banking crises and show that the probability of a systemic banking crisis depends on contagion and that this effect may result from business connections between institutions or from similarities between banking systems.

Suggested Citation

  • Andrea Amaral & Margarida Abreu & Victor Mendes, 2010. "Contagion in Banking Crises: A Spatial Probit Model," Working Papers Department of Economics 2010/03, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
  • Handle: RePEc:ise:isegwp:wp32010
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    File URL: http://pascal.iseg.utl.pt/~depeco/wp/wp032010.pdf
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    References listed on IDEAS

    as
    1. Domac, Ilker & Martinez Peria, Maria Soledad, 2003. "Banking crises and exchange rate regimes: is there a link?," Journal of International Economics, Elsevier, vol. 61(1), pages 41-72, October.
    2. Kurt J. Beron & James C. Murdoch & Wim P. M. Vijverberg, 2003. "Why Cooperate? Public Goods, Economic Power, and the Montreal Protocol," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 286-297, May.
    3. Asli Demirgüç-Kunt & Enrica Detragiache, 1997. "The Determinants of Banking Crises; Evidence From Developing and Developed Countries," IMF Working Papers 97/106, International Monetary Fund.
    4. Barry Eichengreen & Andrew K. Rose, 1998. "Staying Afloat When the Wind Shifts: External Factors and Emerging-Market Banking Crises," NBER Working Papers 6370, National Bureau of Economic Research, Inc.
    5. Degryse, H.A. & Nguyen, G., 2004. "Interbank Exposures : An Empirical Examination of Systemic Risk in the Belgian Banking System," Discussion Paper 2004-4, Tilburg University, Center for Economic Research.
    6. John H. Boyd & Bruce A. Champ, 2003. "Inflation and financial market performance: what have we learned in the last ten years," Working Paper 0317, Federal Reserve Bank of Cleveland.
    7. Asli Demirgüç-Kunt & Enrica Detragiache, 2000. "Does Deposit Insurance Increase Banking System Stability?," IMF Working Papers 00/3, International Monetary Fund.
    8. Demirguc-Kunt, Asli & Detragiache, Enrica, 1999. "Monitoring banking sector fragility : a multivariate logit approach with an application to the 1996-97 banking crises," Policy Research Working Paper Series 2085, The World Bank.
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    Citations

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    Cited by:

    1. Amaral, Andrea & Abreu, Margarida & Mendes, Victor, 2014. "The spatial Probit model—An application to the study of banking crises at the end of the 1990’s," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 415(C), pages 251-260.

    More about this item

    Keywords

    Spatial Probit; banking crises; contagion.;

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • 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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