Banking crises: Identifying dates and determinants

Pearpilai Jutasompakorn, Robert Brooks, Christine Brown and Sirimon Treepongkaruna

Journal of International Financial Markets, Institutions and Money, 2014, vol. 32, issue C, 150-166

Abstract: This study focuses on banking crisis identification and determinants. It identifies banking crisis dates over the period 1995–2010 using market information embedded in banking stocks via a Markov switching autoregressive model, which captures regime shifting behaviour in both the mean and variance of returns for bull, bear and crisis regimes. Using a panel logit model over the period 2002–2009, we identify a banking liquidity measure, proxied by the LIBOR-OIS spread as a new determinant of banking crises. This finding suggests that increasing financial integration can make funding liquidity pressures readily turn into issues of systemic insolvency.

Keywords: Banking crisis; Crisis dates; Markov switching; Determinants; Liquidity shortage (search for similar items in EconPapers)
JEL-codes: G01 G21 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1042443114000614
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:32:y:2014:i:c:p:150-166

DOI: 10.1016/j.intfin.2014.05.004

Access Statistics for this article

Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely

More articles in Journal of International Financial Markets, Institutions and Money from Elsevier
Bibliographic data for series maintained by Catherine Liu ().