A Markov chain measure of systemic banking crisis frequency

Demosthenes Tambakis ()

Applied Economics Letters, 2021, vol. 28, issue 16, 1351-1356

Abstract: This study nests historical evidence for credit growth-fuelled financial instability in a two-state nonhomogeneous Markov chain with logistic crisis incidence. A long-run frequency measure is defined and calibrated for 17 advanced economies from 1870 to 2016. It is found that historical (implied) crisis frequencies display a V (J) pattern over time. A key implication is that policies strengthening capital adequacy contribute more to systemic stability than expanding deposit insurance or curbing sustained credit booms.

Date: 2021
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2020.1817300 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: A Markov-Chain Measure of Systemic Banking Crisis Frequency (2020)
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:taf:apeclt:v:28:y:2021:i:16:p:1351-1356

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2020.1817300

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().