Banking Crises, Early Warning Models, and Efficiency

Pavlos Almanidis and Robin Sickles

Working Papers from Rice University, Department of Economics

Abstract: This paper proposes a general model that combines the Mixture Hazard Model with the Stochastic Frontier Model for the purposes of investigating the main determinants of the failures and performances of a panel of U.S. commercial banks during the financial crisis that began in 2007. The combined model provides measures of the probability and time to failure conditional on a bank's performance and vice versa. Both continuous-time and discrete-time specifications of the model are considered in the paper. The estimation is carried out via the expectation-maximization algorithm due to incomplete information regarding the identity of at-risk banks. In- and out-of-sample predictive accuracy of the proposed models is investigated in order to assess their potential to serve as early warning tools.

JEL-codes: C33 C41 C51 D24 G01 G21 (search for similar items in EconPapers)
Date: 2015-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://economics.rice.edu/file/713/download?token=3TomELDP
Our link check indicates that this URL is bad, the error code is: 406 Not Acceptable (http://economics.rice.edu/file/713/download?token=3TomELDP [301 Moved Permanently]--> https://economics.rice.edu/file/713/download?token=3TomELDP)

Related works:
Chapter: Banking Crises, Early Warning Models, and Efficiency (2016)
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:ecl:riceco:15-006

Access Statistics for this paper

More papers in Working Papers from Rice University, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by ().