Banking crises: Identifying dates and determinants

Pearpilai Jutasompakorn, Robert Darren Brooks, Christine Ann Brown, Sirimon Treepongkaruna

Research output: Contribution to journalArticleResearchpeer-review

6 Citations (Scopus)

Abstract

This study focuses on banking crisis identification and determinants. It identifies banking crisis dates over the period 1995-2010 using market information embedded in banking stocks via a Markov switching autoregressive model, which captures regime shifting behaviour in both the mean and variance of returns for bull, bear and crisis regimes. Using a panel logit model over the period 2002-2009, we identify a banking liquidity measure, proxied by the LIBOR-OIS spread as a new determinant of banking crises. This finding suggests that increasing financial integration can make funding liquidity pressures readily turn into issues of systemic insolvency.
Original languageEnglish
Pages (from-to)150 - 166
Number of pages17
JournalJournal of International Financial Markets, Institutions and Money
Volume32
DOIs
Publication statusPublished - 2014

Cite this