کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7360669 1478829 2016 31 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Comparing logit-based early warning systems: Does the duration of systemic banking crises matter?
ترجمه فارسی عنوان
مقایسه سیستم های هشدار دهنده مبتنی بر لجیت: آیا مدت زمان بحران سیستم بانکی مهم است؟
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper compares the performance of binomial and multinomial logit models in the context of building early warning systems (EWS) for systemic banking crises. We test the hypothesis that the predictive performance of binomial logit models is hampered by what we define as the crisis duration bias, arising from the decision to either treat crisis years after the onset of a crisis as non-crisis years or remove them altogether from the sample. In line with our hypothesis, results from a large sample of world economies suggest that i) the multinomial logit outperforms the binomial logit model in predicting systemic banking crises, and ii) the longer the average duration of the crisis in the sample, the larger the improvement.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 37, June 2016, Pages 104-116
نویسندگان
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