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؟
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 37–38, December 2016, Pages 114-138
نویسندگان
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