The determinants of Asian banking crises—Application of the panel threshold logit model
Chung‐Hua Shen and
International Review of Finance, 2022, vol. 22, issue 1, 248-277
Considering binary dependent variable, this study extends the panel threshold model into “panel threshold logit model (PTLM).” Our PTLM is applied on investigating the effect of early warning indicators on banking crises in 10 Asian economies. The ratio of short‐term debt to foreign reserves serves as the threshold variable. Results confirm the existence of the threshold effect in the determinants of banking crises, and most of the early warning indicators perform differently in the two debt regimes. Our empirical results suggest that important information may be missed in analyzing crises when conventional logit model is used.
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Persistent link: https://EconPapers.repec.org/RePEc:bla:irvfin:v:22:y:2022:i:1:p:248-277
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International Review of Finance is currently edited by Bruce D. Grundy, Naifu Chen, Ming Huang, Takao Kobayashi and Sheridan Titman
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