Identifying Banking Crises Using Money Market Pressure: New Evidence for a Large Set of Countries

47 Pages Posted: 1 Nov 2013

See all articles by Zhongbo Jing

Zhongbo Jing

University of Groningen

Jakob de Haan

University of Groningen - Faculty of Economics and Business; De Nederlandsche Bank; CESifo (Center for Economic Studies and Ifo Institute)

Jan P. A. M. Jacobs

University of Groningen - Faculty of Economics and Business

Haizhen Yang

University of Chinese Academy of Sciences - School of Management

Multiple version iconThere are 2 versions of this paper

Date Written: October 29, 2013

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). We compare the crises identified by both indices with banking crises according to the benchmark of Laeven and Valencia (2010). Both indices identify more crises than these benchmarks. The crises identified by our index are more in line with the benchmark than the crises identified by the Von Hagen and Ho index, while our index also gives fewer false signals.

Keywords: banking crises, money market pressure index

JEL Classification: C43, E44, G21

Suggested Citation

Jing, Zhongbo and de Haan, Jakob and Jacobs, Jan P.A.M. and Yang, Haizhen, Identifying Banking Crises Using Money Market Pressure: New Evidence for a Large Set of Countries (October 29, 2013). De Nederlandsche Bank Working Paper No. 397. Available at SSRN: https://ssrn.com/abstract=2347308 or http://dx.doi.org/10.2139/ssrn.2347308

Zhongbo Jing

University of Groningen ( email )

P.O. Box 800
9700 AH Groningen, Groningen 9700 AV
Netherlands

Jakob de Haan (Contact Author)

University of Groningen - Faculty of Economics and Business ( email )

PO Box 800
Groningen, 9700 AV
Netherlands
+31 0 50 3633706 (Fax)

De Nederlandsche Bank ( email )

P.O. Box 98
Amsterdam, 1000 AB
Netherlands

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

HOME PAGE: http://www.CESifo.de

Jan P.A.M. Jacobs

University of Groningen - Faculty of Economics and Business ( email )

Postbus 72
9700 AB Groningen
Netherlands

Haizhen Yang

University of Chinese Academy of Sciences - School of Management ( email )

Building 7, NO. 80 Zhongguancun Road
Beijing, Beijing 100190
China

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