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1.
We construct and explore a new quarterly dataset covering crisis episodes in 40 developed countries over 1970–2010. First, we present stylized facts on banking, debt, and currency crises. Using panel vector autoregression we find that banking and debt crises are interrelated and both typically precede currency crises, but not vice versa. Banking crises are the most costly in terms of the overall output loss, and output takes about six years to recover. Second, on a reduced sample we try to identify early warning indicators of crises specific to developed economies, accounting for model uncertainty by means of Bayesian model averaging. The most consistent result across the various specifications and time horizons is that significant growth of domestic private credit precedes banking crises, while rising money market rates and global corporate spreads are also leading indicators worth monitoring. For currency crises, we also corroborate the role of rising domestic private credit and money market rates and detect the relevance of domestic currency overvaluation. The role of other indicators differs according to the type of crisis and the warning horizon selected, but it mostly seems easier to find reliable predictors at a horizon shorter than two years. Early warning indicators of debt crises are difficult to uncover due to the low occurrence of such episodes in our dataset. We also employ a signaling approach to derive the threshold value for the best single indicator (domestic private credit), and finally we provide a composite early warning index that further increases the usefulness of the model. 相似文献
2.
《新兴市场金融与贸易》2013,49(5):54-67
This paper investigates possible determinants of currency crises in Turkey. We use three different techniques—namely, the signaling approach, structural model, and Markov switching model with monthly data for the period 1992-2004. The results show that money market pressure index, real-sector confidence index, and public-sector variables are significant in explaining currency crises. Hence, one can say that banking crises lead to currency crises. Central banks' real-sector confidence index may be a good leading indicator for currency crises. 相似文献
3.
This paper studies the influence of bank competition on the real effect of 36 systemic banking crises in 30 countries over the 1980–2000 period and how this influence varies across countries depending on bank regulation and institutions. We find that bank market power is not on average useful for mitigating the negative real effect of a systemic banking crisis. Market power promotes higher growth during normal times in industries that are more dependent on external finance but induces a bigger reduction in growth during systemic banking crises. We also find a country-specific effect depending on bank regulation and institutions. Stringent capital requirements and poor protection of creditor rights increase the benefits of bank market power for mitigating the negative real effect of a systemic banking crisis because bank market power has a positive effect on economic growth during both crisis and non-crisis periods in these environments. 相似文献
4.
Dobromi Serwa 《Journal of International Money and Finance》2010,29(8):1463-1481
We propose a method for calculating the macroeconomic costs of banking crises that controls for the downward impact of recessions on banking activity. This method uses an event-study approach and a multiple-equation identification and estimation technique. In contrast to earlier research, we estimate the cost of crises based on the size of banking crises. The extent of a crisis is measured using banking sector aggregates. The results, based on our method and data from over 100 banking crises, suggest that it is the size of the crisis that matters for economic growth. Lower credit and money growth during crises cause GDP growth to decline. 相似文献
5.
Do Depositors Punish Banks for Bad Behavior? Market Discipline,Deposit Insurance,and Banking Crises 总被引:4,自引:0,他引:4
This paper empirically investigates two issues largely unexplored by the literature on market discipline. We evaluate the interaction between market discipline and deposit insurance and the impact of banking crises on market discipline. We focus on the experiences of Argentina, Chile, and Mexico during the 1980s and 1990s. We find that depositors discipline banks by withdrawing deposits and by requiring higher interest rates. Deposit insurance does not appear to diminish the extent of market discipline. Aggregate shocks affect deposits and interest rates during crises, regardless of bank fundamentals, and investors' responsiveness to bank risk taking increases in the aftermath of crises. 相似文献
6.
This paper analyzes the effect of banking crises on market discipline in an international sample of banks. We also evaluate how bank regulation, supervision, institutions, and crisis intervention policies shape the effect of banking crises on market discipline. We control for unobservable bank, country, and time specific effects using a panel data set of banks from 66 countries around 79 banking crises. The results suggest that on average market discipline weakens after a banking crisis. This weakening is higher in countries where bank regulation, supervision, and institutions promoted market discipline before the banking crisis, and where a more accommodative approach is adopted to resolve it. 相似文献
7.
This paper empirically examines how capital affects a bank’s performance (survival and market share) and how this effect varies across banking crises, market crises, and normal times that occurred in the US over the past quarter century. We have two main results. First, capital helps small banks to increase their probability of survival and market share at all times (during banking crises, market crises, and normal times). Second, capital enhances the performance of medium and large banks primarily during banking crises. Additional tests explore channels through which capital generates these effects. Numerous robustness checks and additional tests are performed. 相似文献
8.
Fariborz Moshirian Qiongbing Wu 《Journal of International Financial Markets, Institutions & Money》2009,19(2):351-370
While studies using balance sheet information of banks and macroeconomic indicators to forecast banking crises are prolific, empirical research using market information of banks is relatively sparse. We investigate whether banking industry volatility, constructed with the disaggregated approach from Campbell et al. [Campbell, J.Y., Lettau, M., Malkiel, B.G., Xu, Y., 2001. Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk? The Journal of Finance 56, 1–43] using exclusively publicly available market information of banks, is a good predictor of systemic banking crises in the analyses including data from 18 developed and 18 emerging markets. We find that banking industry volatility performs well in predicting systemic banking crises for developed markets but very poor for emerging markets, which suggest that the impact of market forces on the soundness of the banking system might be different for developed and emerging markets. We also find that those macroeconomic and banking risk management indicators have different impact on the probability of banking crises. Therefore, the traditional cross-country results of the studies on banking crises need to be interpreted cautiously. 相似文献
9.
We investigate the extent to which it is possible to detect asset-price booms and banking crises according to alternative identification strategies and we assess their robustness. We find some evidence that house price-booms are more likely to turn into costly recession or to trigger a banking crisis than stock-price booms. Resorting both to a non-parametric approach and a discrete-choice (logit) model, we analyze the ability of a wide set of indicators to robustly explain costly asset-price booms. According to our results, real long-term interest rates and real stock prices tend to increase the probability of a costly housing-price boom, whereas real GDP tends to increase the probability of a costly stock-price boom. Interestingly, the credit-to-GDP gap indicator, sometimes put forward in the literature as a key reference for setting countercyclical capital buffers, does not seem to be a robust leading indicator of costly booms or banking crises. 相似文献
10.
《Macroeconomics and Finance in Emerging Market Economies》2013,6(1):146-165
This paper has two central aims. The first one is to deal empirically with the effects of financial crises on emerging stock markets volatility. The second objective consists in testing if the level of stock market development affects this relationship. For this purpose, we estimate a static panel data model for a sample of nine emerging economies from January 1990 to December 2006. We consider three types of financial crises, i.e. banking, currency and twin crises. Our empirical results suggest that the onset of financial crises strongly increased stock market volatility. In addition, we find that the biggest impact is exerted by twin crises. When dealing with the second objective, our results show that the market size and the liquidity level can attenuate the effects of banking and currency crises, but not the one associated to twin crises. Nevertheless, the degree of stock market integration seems to reduce the effects of banking, currency and twin crises on stock market volatility. 相似文献
11.
This paper analyzes the effectiveness of different government policies to prevent the emergence of banking crises. In particular, we study the impact on welfare of using taxpayers money to recapitalize banks, government injection of money into the banking system through credit lines, the creation of a buffer and taxes on financial transactions (the Tobin tax). We illustrate the trade-off between these policies and derive policy implications. 相似文献
12.
Several twin crises occurred in the Turkish economy in the last three decades. In this article, we aim to analyze the link between banking and currency crises and to illustrate the essential determinants of these twin crises by developing a multivariate logit model for the period 1990–2013. The empirical findings show that Turkish currency crises are mainly due to excessive fiscal deficits, rises in short-term external debt, overvaluation of Turkish lira, and external adverse shocks; banking crises are primarily caused by excessive money supplies and bank short positions. The empirical findings also indicate that banking crises lead to currency crises, and vice versa. 相似文献
13.
Tom Bernhardsen Arne Kloster Elisabeth Smith Olav Syrstad 《Financial Markets and Portfolio Management》2009,23(4):361-381
This article guides through the measures implemented in Norway in order to dampen negative effects stemming from the financial
crisis. We also discuss some features of the Norwegian money market and the liquidity system in Norway. From the point of
view of central banks, the widening gap between money market rates and the key policy rate has been one disturbing element
of the financial crises. We develop a simple model, which illustrates how developments in forward exchange premiums can provide
insight as to why money market premiums differ across currencies. The model shows that the excess supply of term liquidity
in dollar relative to the excess supply of term liquidity in other currencies has an impact on the domestic money market premium
relative to that on USD. 相似文献
14.
Kay Giesecke Francis A. Longstaff Stephen Schaefer Ilya A. Strebulaev 《Journal of Financial Economics》2014
Using an extensive data set on corporate bond defaults in the US from 1866 to 2010, we study the macroeconomic effects of bond market crises and contrast them with those resulting from banking crises. During the past 150 years, the US has experienced many severe corporate default crises in which 20–50% of all corporate bonds defaulted. Although the total par amount of corporate bonds has at times rivaled the amount of bank loans outstanding, we find that corporate default crises have far fewer real effects than do banking crises. These results provide empirical support for current theories that emphasize the unique role that banks and the credit and collateral channels play in amplifying macroeconomic shocks. 相似文献
15.
16.
We examine the output costs associated with 150 banking crises using cross country data for years after 1970. Many banking crises do not lead to contractions and most banking crises do not lead to large contractions, a result that holds for developed and developing economies. We examine which variables help to predict output changes after a banking crisis using Bayesian Model Averaging. For developed economies, we find that the output losses are positively related to prior economic conditions such as credit growth. For low-income economies, we find that other factors such as having a stock market and deposit insurance are more important. 相似文献
17.
18.
银行业危机:金融泡沫视角的分析 总被引:2,自引:0,他引:2
自20世纪80年代以来,银行业危机爆发越显频繁。然而,通过对银行业危机内部形成机理分析可以发现,银行业危机的爆发其实是伴随着金融泡沫的形成与破灭这一过程的。在金融泡沫的形成过程中,银行往往会给一些高风险行业发放贷款,从而增加银行经营风险;而在金融泡沫破灭之后,这将直接或间接地导致银行产生大量的不良贷款,从而使银行业危机最终爆发。因此,我国应尽快化解国有商业银行的不良资产;完善银行微观治理结构;建立和完善金融监管机制。 相似文献
19.
JUIN-JEN CHANG WEN-YA CHANG† CHING-CHONG LAI‡ PING WANG§ 《Journal of Money, Credit and Banking》2007,39(7):1683-1710
We construct an analytically tractable endogenous growth model of money and banking where money provides "liquidity services" to facilitate transactions and banks convert non-reserve deposits into productive capital. We examine both the long- and short-run effects of changes in the money growth rate or the reserve requirement ratio. In response to a change in the required reserve ratio, the inflation rate and the growth rates of capital, real balances, and consumption need not adjust monotonically along the transition path. While the balanced growth equilibrium may be either a saddle or a source locally, the global dynamical system exhibits flip bifurcation. 相似文献
20.
We investigate the role of a central bank (CB) in preventing and avoiding financial contagion. The CB, by imposing reserve requirements on the banking system, trades off the cost of reducing the resources available for long-term investment with the benefit of raising liquidity to face an adverse shock that could cause contagious crises. We argue that contagion is not due to the structure of the interbank deposit market, but to the impossibility to sign contracts contingent on unforeseen contingencies. As long as incomplete contracts are present, the CB may have a useful role in curbing contagion. Moreover, the CB allows the banking system to reach first-best allocation in all the states of the world when the notion of incentive-efficiency is considered. If the analysis is restricted to constrained-efficiency, the CB still avoids contagion without, however, reaching first-best consumption allocation. The model provides a rationale for reserve requirements without the presence of fiat money or asymmetric information. 相似文献