Banking crises and recessions: what can leading indicators tell us?
It is widely suggested that there is some relationship between banking crises and recessions. We assess whether there is evidence for interdependency between recessions and banking crises using both non-parametric tests and unconditional bivariate probit models and find strong evidence for interdependence. We then consider whether leading indicators can help predict banking crises and recessions and if these variables can explain the previously obvserved interdependence. Inclusion of exogenous variables means that the observed interdependence between banking crises and recessions disappears - indicating that the observed interdependence is a result of easily observable common causes rather than unobserved links.
|Date of creation:||01 Sep 2011|
|Date of revision:|
|Contact details of provider:|| Postal: Threadneedle Street, London, EC2R 8AH|
Phone: +44 (020) 7601 4444
Fax: +44 (020) 7601 4771
Web page: http://www.bankofengland.co.uk/publications/externalmpcpapers/index.htm
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Andrea Cipollini & George Kapetanios, 2006.
"Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis,"
Computing in Economics and Finance 2006
477, Society for Computational Economics.
- Cipollini, A. & Kapetanios, G., 2009. "Forecasting financial crises and contagion in Asia using dynamic factor analysis," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 188-200, March.
- Andrea Cipollini & George Kapetanios, 2008. "Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis," Center for Economic Research (RECent) 014, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Andrea Cipollini & George Kapetanios, 2005. "Forecasting Financial Crises and Contagion in Asia Using Dynamic Factor Analysis," Working Papers 538, Queen Mary University of London, School of Economics and Finance.
- Moritz Schularick & Alan M. Taylor, 2009.
"Credit Booms Gone Bust: Monetary Policy, Leverage Cycles and Financial Crises, 1870-2008,"
NBER Working Papers
15512, National Bureau of Economic Research, Inc.
- Moritz Schularick & Alan M. Taylor, 2012. "Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870-2008," American Economic Review, American Economic Association, vol. 102(2), pages 1029-61, April.
- Schularick, Moritz & Taylor, Alan M., 2009. "Credit Booms Gone Bust: Monetary Policy, Leverage Cycles and Financial Crises, 1870-2008," CEPR Discussion Papers 7570, C.E.P.R. Discussion Papers.
- John H. Boyd & Pedro Gomis-Porqueras & Sungkyu Kwak & Bruce David Smith, 2014.
"A User's Guide to Banking Crises,"
Annals of Economics and Finance,
Society for AEF, vol. 15(2), pages 800-892, November.
- Ray Barrell & E Philip Davis & Tatiana Fic & Dawn Holland & Simon Kirby & Iana Liadze, 2009. "Optimal Regulation of Bank Capital and Liquidity: How to Calibrate New International Standards," Occasional Papers 38, Financial Services Authority.
- Gourieroux, Christian & Monfort, Alain & Renault, Eric & Trognon, Alain, 1987. "Generalised residuals," Journal of Econometrics, Elsevier, vol. 34(1-2), pages 5-32.
- Elisabetta Falcetti & Merxe Tudela, 2008. "What do Twins Share? A Joint Probit Estimation of Banking and Currency Crises," Economica, London School of Economics and Political Science, vol. 75(298), pages 199-221, 05.
When requesting a correction, please mention this item's handle: RePEc:mpc:wpaper:0033. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (William Naughton)The email address of this maintainer does not seem to be valid anymore. Please ask William Naughton to update the entry or send us the correct email address
If references are entirely missing, you can add them using this form.