Article ID Journal Published Year Pages File Type
965297 Journal of Macroeconomics 2015 51 Pages PDF
Abstract
We construct a money market pressure index based on central bank reserves and the short-term nominal interest rate to identify banking crises, thereby extending the index proposed by Von Hagen and Ho (2007), also in terms of the number of countries covered. We compare the crises identified by both indices with crises according to Laeven and Valencia. Both indices identify more crises than the Laeven-Valencia database. The crises identified by our index are more in line with the Laeven-Valencia crises than those identified by the Von Hagen-Ho index, while our index also gives fewer 'false' signals.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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