کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5101607 | 1479345 | 2016 | 51 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Are systemic banking crises in developed and developing countries predictable?
ترجمه فارسی عنوان
آیا بحران های بانکی سیستماتیک در کشورهای توسعه یافته و در حال توسعه قابل پیش بینی است؟
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper contributes to the empirical literature on early warning systems of banking crises using a new methodology accounting for model uncertainty. We introduce new variables measuring exposure and connectivity of the domestic banking sector to international financial markets. We show that a multinomial logit model based on Bayesian Model Averaging is favored to conventional multinomial and binary models highlighting what is called by Bussiere and Fratzsher (2006) “post-crisis bias”. We show that the application of the multinomial logit model, which distinguishes between more than two states and uses Bayesian Model Averaging, is a valid way to solve this problem and leads to a substantial improvement in the ability to predict banking crises. The empirical results show that for a set of 49 developing and developed countries, the model would have correctly predicted the vast majority of crises.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multinational Financial Management - Volumes 37â38, December 2016, Pages 114-138
Journal: Journal of Multinational Financial Management - Volumes 37â38, December 2016, Pages 114-138
نویسندگان
Mekki Hamdaoui,