Explaining and Predicting Bank Failure Using Duration Models: The Case of Argentina after the Mexican Crisis

20 Pages Posted: 22 Aug 2008

See all articles by Marcelo Dabos

Marcelo Dabos

affiliation not provided to SSRN

Walter Sosa-Escudero

Universidad Nacional de La Plata - Faculty of Economics

Date Written: June 1, 2004

Abstract

This paper studies the role played by several bank specific financial indicators in determining the process of bank failure in Argentina after the Mexican crisis known as the "tequila effect". Due to the relative scarcity of previous studies, this paper priorizes the use of semiparametric and non-parametric methods which allow us to measure the effect of bank specific financial explanatory variables in the process of bank failure together with duration dependence effects without the need of arbitrary and possibly unrealistic assumptions. The dynamic of bank failures can be fairly characterized by observable factors, which discards the possibility that it had been governed by contagion processes solely. The non-monotonocity of the implicit hazard rate suggests that there were contagion effects, and that they had a strong influence in the first 200 days of the crisis.

Keywords: bank failure, duration models, argentina

JEL Classification: R00, Z0

Suggested Citation

Dabos, Marcelo and Sosa-Escudero, Walter, Explaining and Predicting Bank Failure Using Duration Models: The Case of Argentina after the Mexican Crisis (June 1, 2004). Revista de Analisis Economico, Vol. 19, No. 1, 2004, Available at SSRN: https://ssrn.com/abstract=1244511

Marcelo Dabos (Contact Author)

affiliation not provided to SSRN

Walter Sosa-Escudero

Universidad Nacional de La Plata - Faculty of Economics ( email )

1900 La Plata
Argentina
(541) 553-9983 (Phone)

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