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Identifying banking crises using money market pressure: New evidence for a large set of countries

Citation

Jing, Z and de Hann, J and Jacobs, J and Yang, H, Identifying banking crises using money market pressure: New evidence for a large set of countries, Journal of Macroeconomics, 43 pp. 1-20. ISSN 0164-0704 (2015) [Refereed Article]

Copyright Statement

Copyright 2014 Elsevier

DOI: doi:10.1016/j.jmacro.2014.09.001

Abstract

We 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.

Item Details

Item Type:Refereed Article
Research Division:Economics
Research Group:Applied Economics
Research Field:Macroeconomics (incl. Monetary and Fiscal Theory)
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Macroeconomics not elsewhere classified
Author:Jacobs, J (Associate Professor Jan Jacobs)
ID Code:96725
Year Published:2015
Web of Science® Times Cited:4
Deposited By:Tasmanian School of Business and Economics
Deposited On:2014-11-18
Last Modified:2016-02-18
Downloads:0

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