Abstract

https://ssrn.com/abstract=2385833
 


 



Time Dependence in Banking Crises: A Discrete-Time Duration Approach


Vincent Bouvatier


Université Paris Ouest - Nanterre, La Défense

January 27, 2014


Abstract:     
This paper investigates whether the probability of a banking crisis depends on the time that has elapsed since the last banking crisis. More than two centuries of banking crises are considered, and a discrete-time duration model that is based on a cubic spline methodology is implemented. The results allow to identify when the exposure to a banking crisis is particularly high, which is a major concern for policy makers. The probability of having a new banking crisis noticeably increases over the first decade following a banking crisis. Furthermore, (as expected) the exposure to banking crises is also particularly high following a long period of time without any banking crisis because no country has ever avoided having a banking crisis in the long run. However, between the two extremes, the exposure to a banking crisis decreases, which suggests that countries benefit from a period of increasing stability.

Number of Pages in PDF File: 44

Keywords: banking crises, discrete-time duration model

JEL Classification: G01, G21, C41


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Date posted: January 28, 2014 ; Last revised: June 12, 2015

Suggested Citation

Bouvatier, Vincent, Time Dependence in Banking Crises: A Discrete-Time Duration Approach (January 27, 2014). Available at SSRN: https://ssrn.com/abstract=2385833 or http://dx.doi.org/10.2139/ssrn.2385833

Contact Information

Vincent Bouvatier (Contact Author)
Université Paris Ouest - Nanterre, La Défense ( email )
200 Avenue de la République
Nanterre, Hauts de Seine 92000
France
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