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.
|Pages (from-to)||150 - 166|
|Number of pages||17|
|Journal||Journal of International Financial Markets, Institutions and Money|
|Publication status||Published - 2014|