Explaining and predicting bank failure using duration models: the case of Argentina after the Mexican crisis
Marcelo Dabós and
Walter Sosa Escudero ()
Revista de Analisis Economico – Economic Analysis Review, 2004, vol. 19, issue 1, 31-49
Abstract:
This paper studies the role played by several bank specific financial indicators in determining the process of bank failure in Argentina after the Mexican crisis known as the "tequila effect". Due to the relative scarcity of previous studies, this paper priorizes the use of semiparametric and non-parametric methods which allow us to measure the effect of bank specific financial explanatory variables in the process of bank failure together with duration dependence effects without the need of arbitrary and possibly unrealistic assumptions. The dynamic of bank failures can be fairly characterized by observable factors, which discards the possibility that it had been governed by contagion processes solely. The non-monotonocity of the implicit hazard rate suggests that there were contagion effects, and that they had a strong influence in the first 200 days of the crisis.
Keywords: bank failure; duration models; argentina (search for similar items in EconPapers)
Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)
Downloads: (external link)
http://www.rae-ear.org/index.php/rae/article/view/34 (application/pdf)
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:ila:anaeco:v:19:y:2004:i:1:p:31-49
Ordering information: This journal article can be ordered from
Access Statistics for this article
Revista de Analisis Economico – Economic Analysis Review is currently edited by Carlos Ponce
More articles in Revista de Analisis Economico – Economic Analysis Review from Universidad Alberto Hurtado/School of Economics and Business Contact information at EDIRC.
Bibliographic data for series maintained by Mauricio Tejada ().