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Characteristics of Banking Crises: A Comparative Study with Geographical Contagion

Author

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  • Fendel Ralf

    (WHU – Otto Beisheim School of Management, Vallendar, Germany)

  • Stremmel Hanno

    (WHU – Otto Beisheim School of Management, Vallendar, Germany)

Abstract

This paper compares determinants of banking sector crises using an early warning system approach in a diverse cross-country panel. We cover 152 countries using annual data from 1990 to 2011. We provide three main contributions: (i) accommodating different influences on banking sector fragility (banking sector, macroeconomic and structural features) in a wide country panel; (ii) introducing a variable accounting for geographical contagion effects; and (iii) cross country comparison based on two subsamples: advanced and developing countries. We find systematic differences between country groups and evidence for the influence of geographical contagion effects. The specification produces reliable early warning signals to detect crisis events on the banking sector level.

Suggested Citation

  • Fendel Ralf & Stremmel Hanno, 2016. "Characteristics of Banking Crises: A Comparative Study with Geographical Contagion," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 236(3), pages 349-388, May.
    • Handle: RePEc:jns:jbstat:v:236:y:2016:i:1:p:349-388
    DOI: 10.1515/jbnst-2015-1018
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    Keywords

    early warning system; banking crises; country group comparison;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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