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

44 Pages Posted: 28 Jan 2014 Last revised: 12 Jun 2015

See all articles by Vincent Bouvatier

Vincent Bouvatier

University Paris-Est Créteil (UPEC) - ERUDITE

Date Written: 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.

Keywords: banking crises, discrete-time duration model

JEL Classification: G01, G21, C41

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

Vincent Bouvatier (Contact Author)

University Paris-Est Créteil (UPEC) - ERUDITE ( email )

Mail des Mèches
61 avenue du Général de Gaulle
Créteil Cedex, 94010
France

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