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The spatial Probit model—An application to the study of banking crises at the end of the 1990’s

Andrea Amaral, Margarida Abreu () and Victor Mendes ()

Physica A: Statistical Mechanics and its Applications, 2014, vol. 415, issue C, 251-260

Abstract: We use a spatial Probit model to study the effect of contagion between banking systems of different countries. Applied to the late 1990s banking crisis in Asia we show that the phenomena of contagion is better seized using a spatial than a traditional Probit model. Unlike the latter, the spatial Probit model allows one to consider the cascade of cross and feedback effects of contagion that result from the outbreak of one initial crisis in one country or system. These contagion effects may result either from business connections between institutions of different countries or from institutional similarities between banking systems.

Keywords: Spatial probit; Banking crises; Contagion (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:415:y:2014:i:c:p:251-260

DOI: 10.1016/j.physa.2014.07.044

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Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

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