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Characteristics of Banking Crises

A Comparative Study with Geographical Contagion
  • Ralf Fendel EMAIL logo and Hanno Stremmel
Published/Copyright: March 3, 2016

Abstract

This paper compares determinants of banking sector crises using an early warning system approach in a diverse cross-country panel. We cover 152 countries using annual data from 1990 to 2011. We provide three main contributions: (i) accommodating different influences on banking sector fragility (banking sector, macroeconomic and structural features) in a wide country panel; (ii) introducing a variable accounting for geographical contagion effects; and (iii) cross country comparison based on two subsamples: advanced and developing countries. We find systematic differences between country groups and evidence for the influence of geographical contagion effects. The specification produces reliable early warning signals to detect crisis events on the banking sector level.

JEL: G01; G20; E44

Acknowledgements

The authors are grateful to Matej Marinč, David Mayes, Peter Winker and participants at the 13th INFINITI Conference on International Finance (2015) in Ljubljana [Slovenia], the 7th IFABS Conference (2015) in Hangzhou [China] as well as anonymous referees for valuable comments and suggestions.

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Supplemental Material

The online version of this article (DOI: 10.1515/jbnst-2015-1018) offers supplementary material, available to authorized users.


Received: 2014-12-10
Revised: 2015-9-14
Accepted: 2015-9-20
Published Online: 2016-3-3
Published in Print: 2016-5-1

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