What do Twins Share? A Joint Probit Estimation of Banking and Currency Crises
Dados Bibliográficos
| ID | 9722702 |
|---|---|
| Autores | ELISABETTA FALCETTI (European Bank for Reconstruction and Development), MERXE TUDELA (Bank of England) |
| Ano | 2008 |
| Volume | 75 |
| Fascículo | 298 |
| Páginas | 199-221 |
| Data de publicação | 2008-05-01 |
| Peer Reviewed | Sim |
| Open Access | Sim |
| Tipo | ARTICLE |
| Periódico | Economica (JOURNAL) |
| Identificadores do periódico | ISSN: 0013-0427 • E-ISSN: 1468-0335 |
| Editora | Wiley (PUBLISHER • GB) |
| DOI | 10.1111/j.1468-0335.2007.00613.x |
| OpenAlex | W2030220477 |
| Idioma | EN |
| Referências citadas | 21 |
We study the determinants of twin crises and investigate the direction of causality between banking and currency crises in emerging markets. We model banking and currency crises as dynamic events, correlated over time, and jointly estimate their probability using panel data simulation techniques. We show that banking and currency crises are closely intertwined and are driven by common fundamentals. Banking crises exhibit strong state dependence, suggesting that countries that have experienced a banking crisis in the past are more prone to experience another crisis. Finally, we find evidence of unobserved heterogeneity and autocorrelation in the error term structure
Autocorrelation · Causality (physics) · Currency · Currency crisis · Econometrics · Economics · Estimation · Financial crisis · Macroeconomics · Monetary economics · Panel data · Probit · Probit model · Statistics · Banking stability, regulation, efficiency · Global Financial Crisis and Policies · Monetary Policy and Economic Impact
| Velocidade de citação | historical |
|---|---|
| Altamente citado | Não |