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Modelling Financial Crises Mutation

Author

Listed:
  • Bertrand Candelon
  • Elena-Ivona DUMITRESCU
  • Christophe HURLIN
  • Franz C. PALM

Abstract

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Suggested Citation

  • Bertrand Candelon & Elena-Ivona DUMITRESCU & Christophe HURLIN & Franz C. PALM, 2011. "Modelling Financial Crises Mutation," LEO Working Papers / DR LEO 1238, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    • Handle: RePEc:leo:wpaper:1238
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    References listed on IDEAS

    as
    1. Harding, Don & Pagan, Adrian, 2011. "An Econometric Analysis of Some Models for Constructed Binary Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 86-95.
    2. Lestano & Jacobs, Jan P.A.M., 2004. "A comparison of currency crisis dating methods: East Asia 1970-2002," CCSO Working Papers 200412, University of Groningen, CCSO Centre for Economic Research.
    3. Candelon, Bertrand & Dumitrescu, Elena-Ivona & Hurlin, Christophe, 2014. "Currency crisis early warning systems: Why they should be dynamic," International Journal of Forecasting, Elsevier, vol. 30(4), pages 1016-1029.
    4. Lestano & Jacobs, Jan & Kuper, Gerard H., 2003. "Indicators of financial crises do work! : an early-warning system for six Asian countries," CCSO Working Papers 200313, University of Groningen, CCSO Centre for Economic Research.
    5. Carmen M. Reinhart & Kenneth S. Rogoff, 2014. "This Time is Different: A Panoramic View of Eight Centuries of Financial Crises," Annals of Economics and Finance, Society for AEF, vol. 15(2), pages 215-268, November.
    6. McFadden, Daniel, 1989. "A Method of Simulated Moments for Estimation of Discrete Response Models without Numerical Integration," Econometrica, Econometric Society, vol. 57(5), pages 995-1026, September.
    7. Pesaran, M. Hashem & Pick, Andreas, 2007. "Econometric issues in the analysis of contagion," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1245-1277, April.
    8. Reuven Glick & Michael M. Hutchison, 1999. "Banking and currency crises; how common are twins?," Proceedings, Federal Reserve Bank of San Francisco, issue Sep.
    9. Barry Eichengreen & Andrew K. Rose & Charles Wyplosz, 1996. "Contagious Currency Crises," NBER Working Papers 5681, National Bureau of Economic Research, Inc.
    10. Michael Dueker, 2005. "Dynamic Forecasts of Qualitative Variables: A Qual VAR Model of U.S. Recessions," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 96-104, January.
    11. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
    12. Graciela Kaminsky & Saul Lizondo & Carmen M. Reinhart, 1998. "Leading Indicators of Currency Crises," IMF Staff Papers, Palgrave Macmillan, vol. 45(1), pages 1-48, March.
    13. Bertrand Candelon & Franz Palm, 2010. "Banking and Debt Crises in Europe: The Dangerous Liaisons?," De Economist, Springer, vol. 158(1), pages 81-99, April.
    14. J‹Rgen Von Hagen & Tai-Kuang Ho, 2007. "Money Market Pressure and the Determinants of Banking Crises," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(5), pages 1037-1066, August.
    15. repec:bla:scandj:v:98:y:1996:i:4:p:463-84 is not listed on IDEAS
    16. Kumar, Mohan & Moorthy, Uma & Perraudin, William, 2003. "Predicting emerging market currency crashes," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 427-454, September.
    17. Bertrand Candelon & Franz Palm, 2010. "Erratum to: Banking and Debt Crises in Europe: The Dangerous Liaisons?," De Economist, Springer, vol. 158(3), pages 337-340, September.
    18. repec:dgr:rugccs:200313 is not listed on IDEAS
    19. Andrea Pescatori & Amadou N R Sy, 2007. "Are Debt Crises Adequately Defined?," IMF Staff Papers, Palgrave Macmillan, vol. 54(2), pages 306-337, June.
    20. van den Berg, Jeroen & Candelon, Bertrand & Urbain, Jean-Pierre, 2008. "A cautious note on the use of panel models to predict financial crises," Economics Letters, Elsevier, vol. 101(1), pages 80-83, October.
    21. Jacques Huguenin & Florian Pelgrin & Alberto Holly, 2009. "Estimation of multivariate probit models by exact maximum likelihood," Working Papers 0902, University of Lausanne, Institute of Health Economics and Management (IEMS).
    22. Bertrand Candelon & Elena-Ivona Dumitrescu & Christophe Hurlin, 2012. "How to evaluate an Early Warning System ?," Working Papers halshs-00450050, HAL.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Naceur, Sami Ben & Candelon, Bertrand & Lajaunie, Quentin, 2019. "Taming financial development to reduce crises," Emerging Markets Review, Elsevier, vol. 40(C), pages 1-1.

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