On the relation between currency and banking crises in developing countries, 1980–2010
The North American Journal of Economics and Finance, 2015, vol. 34, issue C, 267-291
This paper investigates the relationship between the occurrence of currency and banking crises using high-frequency data for a sample of 94 countries during 1980–2010. The two types of crises are proxied by continuous, multi-categorical and dummy variables based on market pressure indexes, and a dummy variable from the Laeven–Valencia banking crises database. Results suggest that a bidirectional leading relationship exists between the two types of crises. However, banking crises do not lead currency crises robustly when banking crises are proxied by dummies based on market pressure indexes. Finally, currency crises have robust state dependence, but this is not the case for banking crises.
Keywords: Currency crises; Banking crises; Granger causality test; Ordered logit model; Logit model (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:34:y:2015:i:c:p:267-291
Access Statistics for this article
The North American Journal of Economics and Finance is currently edited by Hamid Beladi
More articles in The North American Journal of Economics and Finance from Elsevier
Series data maintained by Dana Niculescu ().