Economics at your fingertips  

Empirical facts characterizing banking crises: an analysis via binary time series

Paolo Di Caro (), Giuseppe Pernagallo, Antonino Damiano Rossello and Benedetto Torrisi

Papers from

Abstract: Various works have already showed that common shocks and cross-country financial linkages caused the banking systems of several countries to be highly interconnected with the result that during bad times, banking crises may arise simultaneously in different countries. Our aim is to provide further evidence on the topic using a dataset made by dichotomous banking crises time series for 66 countries from 1800 to 2014. Via the use of heatmap matrices we show that several countries exhibit pairwise correlation, which means that banking crises tend to occur in the same year. Clustering analysis suggests that developed countries (for the most European ones) are highly similar in terms of the path of events. An analysis of the events that followed the Great Depression and the Great Recession shows that after the crisis of 2008, banking crises tend to characterize countries tied by financial links whereas before 2008 contagion seems to affect countries in the same geographical area. Clustering analysis shows also that after financial liberalization, crises affected countries with similar economic structures and growth. Further researches should enlighten the origin of these linkages investigating how the process of contagion eventually happens.

Date: 2019-04
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) Latest version (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:

Access Statistics for this paper

More papers in Papers from
Bibliographic data for series maintained by arXiv administrators ().

Page updated 2021-10-03
Handle: RePEc:arx:papers:1904.12526