A New Comprehensive Database of Financial Crisis: Identification, Frequency and Duration

42 Pages Posted: 21 Apr 2021

See all articles by Thanh Cong Nguyen

Thanh Cong Nguyen

Phenikaa University

Vítor Castro

Loughborough University

Justine A Wood

Loughborough University - School of Business and Economics

Date Written: April 20, 2021

Abstract

This paper introduces a new database of financial crises, providing an important insight into the causes, duration, and consequences of different types of financial crises. Besides extending the systemic banking crises database by Laeven and Valencia (2020) to the period 1970–2019, we develop new approaches for the identification of currency and sovereign debt crises, which we regard preferable in some respects to those in the literature. Covering 206 countries, our crises database draws on 151 systemic banking crises (1970-2019), 414 currency crises (1950-2019), 200 sovereign debt crises (1960-2019), 75 twin crises (1970-2019), and 21 triple crises (1970-2019). We provide evidence that banking and debt crises tend to coincide or precede currency crises, while debt crises and banking crises are less likely to coincide or precede each other. We also find that advanced countries experienced longer banking crises but shorter currency, debt, twin, and triple crises.

Keywords: Crises identification; Types of financial crises; Crisis sequencing

JEL Classification: G01; E44

Suggested Citation

Nguyen, Thanh Cong and Castro, Vítor and Wood, Justine A, A New Comprehensive Database of Financial Crisis: Identification, Frequency and Duration (April 20, 2021). Available at SSRN: https://ssrn.com/abstract=3830333 or http://dx.doi.org/10.2139/ssrn.3830333

Thanh Cong Nguyen (Contact Author)

Phenikaa University ( email )

To Huu road, Yen Nghia
Ha Dong district
Hanoi, Hanoi 100803
Vietnam

Vítor Castro

Loughborough University ( email )

Ashby Road
Nottingham NG1 4BU
Great Britain

Justine A Wood

Loughborough University - School of Business and Economics ( email )

Epinal Way
Leics LE11 3TU
Leicestershire
United Kingdom

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