Characteristics of Banking Crises: A Comparative Study with Geographical Contagion

Fendel Ralf () and Stremmel Hanno ()
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Fendel Ralf: WHU – Otto Beisheim School of Management, Vallendar, Germany
Stremmel Hanno: WHU – Otto Beisheim School of Management, Vallendar, Germany

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2016, vol. 236, issue 3, 349-388

Abstract: This paper compares determinants of banking sector crises using an early warning system approach in a diverse cross-country panel. We cover 152 countries using annual data from 1990 to 2011. We provide three main contributions: (i) accommodating different influences on banking sector fragility (banking sector, macroeconomic and structural features) in a wide country panel; (ii) introducing a variable accounting for geographical contagion effects; and (iii) cross country comparison based on two subsamples: advanced and developing countries. We find systematic differences between country groups and evidence for the influence of geographical contagion effects. The specification produces reliable early warning signals to detect crisis events on the banking sector level.

Keywords: early warning system; banking crises; country group comparison (search for similar items in EconPapers)
JEL-codes: E44 G01 G20 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:236:y:2016:i:1:p:349-388

DOI: 10.1515/jbnst-2015-1018

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