Brunel University Research Archive (BURA) >
College of Business, Arts and Social Sciences >
Dept of Economics and Finance >
Dept of Economics and Finance Research Papers >

Please use this identifier to cite or link to this item:

Title: Banking crisis in Asia and Latin America – A single pattern for emerging market economies?
Authors: Davis, EP
Karim, D
Liadze, I
Keywords: Banking crises
Systemic risk
Early warning systems
Logit estimation
Signal extraction
Binary recursive tree
Emerging market economies
Publication Date: 2010
Publisher: Brunel University
Citation: Economics and Finance Working Paper, Brunel University, 10-08
Abstract: Most extant work on prediction of banking crises has utilised global samples, which are in turn dominated by observations from middle-income countries, and rely on a single estimator, while a range of specifications is desirable to check robustness. However, economic and financial structure as well as the pattern of shocks may differ substantially across regions. Accordingly, in this paper we test the implicit pooling assumption in earlier work on Early Warning Systems using the widest range of models, by estimating logit, signal extraction and binary recursive tree specifications separately for crises in Asia and Latin America, as well as the pooled sample. Results suggest markedly different crisis determinants across regions, implying global samples are inappropriate.
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

Files in This Item:

File Description SizeFormat
1008[1].pdf429.12 kBAdobe PDFView/Open

Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.