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

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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.",
author = "Pearpilai Jutasompakorn and Brooks, {Robert Darren} and Brown, {Christine Ann} and Sirimon Treepongkaruna",
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Banking crises: Identifying dates and determinants. / Jutasompakorn, Pearpilai; Brooks, Robert Darren; Brown, Christine Ann; Treepongkaruna, Sirimon.

In: Journal of International Financial Markets, Institutions and Money, Vol. 32, 2014, p. 150 - 166.

Research output: Contribution to journalArticleResearchpeer-review

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AB - 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.

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