Together or apart? The relationship between currency and banking crises

Autor:	Sylvester Eijffinger, Bilge Karatas
Přispěvatelé:	Research Group: Economics, Department of Economics, Department of Finance
Jazyk:	angličtina
Rok vydání:	2020
Předmět:	Economics and Econometrics Currency crisis Banking crisis Financial market Frequency data Developing country Probit Sample (statistics) Monetary economics B Journal twin crisis currency crisis Twin crisis Currency Economics Empirical evidence Finance Panel data banking crisis
Zdroj:	Journal of Banking & Finance, 119:105631. Elsevier Science BV Journal of Banking and Finance, 119. Elsevier
ISSN:	1872-6372 0378-4266
DOI:	10.1016/j.jbankfin.2019.105631
Popis:	The purpose of this study is to provide empirical evidence on the links between currency and banking crises. Panel data probit and bivariate probit models are estimated to a sample of 21 developed and developing countries having monthly observations between the years 1985 and 2010. The findings indicate that banking crises precede currency crises, and vice versa. Currency crises also indirectly influence future banking crises probability through external shocks, liberalized financial markets, or highly-leveraged banking sectors. The study also finds evidence of contemporaneous correlation between the two crises. The results not only confirm the theoretical links between banking and currency crises, but also underline the importance of higher frequency data in analyzing the relationship between various financial crises.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e34152ab200fb2c3fffc4e35affc40ad https://doi.org/10.1016/j.jbankfin.2019.105631 Zobrazit plný text záznamu Full Text from ScienceDirect