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Identifying banking crises using money market pressure: New evidence for a large set of countries
journal contribution
posted on 2023-05-18, 05:14 authored by Jing, Z, de Hann, J, Jacobs, J, Yang, HWe 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.
History
Publication title
Journal of MacroeconomicsVolume
43Pagination
1-20ISSN
0164-0704Department/School
TSBEPublisher
Elsevier BVPlace of publication
NetherlandsRights statement
Copyright 2014 ElsevierRepository Status
- Restricted