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Identifying banking crises using money market pressure: New evidence for a large set of countries

Jing, Zhongbo; de Haan, Jakob; Jacobs, Jan; Yang, Haizhen

Description

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), also in terms of the number of countries covered. We compare the crises identified by both indices with crises according to Laeven and Valencia. Both indices identify more crises than the Laeven-Valencia database. The crises identified by our index are more in line with the Laeven-Valencia...[Show more]

dc.contributor.authorJing, Zhongbo
dc.contributor.authorde Haan, Jakob
dc.contributor.authorJacobs, Jan
dc.contributor.authorYang, Haizhen
dc.date.accessioned2016-02-24T22:40:49Z
dc.identifier.issn0164-0704
dc.identifier.urihttp://hdl.handle.net/1885/98459
dc.description.abstractWe 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), also in terms of the number of countries covered. We compare the crises identified by both indices with crises according to Laeven and Valencia. Both indices identify more crises than the Laeven-Valencia database. The crises identified by our index are more in line with the Laeven-Valencia crises than those identified by the Von Hagen-Ho index, while our index also gives fewer 'false' signals.
dc.publisherElsevier
dc.sourceJournal of Macroeconomics
dc.titleIdentifying banking crises using money market pressure: New evidence for a large set of countries
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume43
dc.date.issued2015
local.identifier.absfor140102 - Macroeconomic Theory
local.identifier.ariespublicationU3488905xPUB5429
local.type.statusPublished Version
local.contributor.affiliationJing, Zhongbo, Central University of Finance and Economics
local.contributor.affiliationde Haan, Jakob, University of Groningen
local.contributor.affiliationJacobs, Jan, College of Asia and the Pacific, ANU
local.contributor.affiliationYang, Haizhen, University of Chinese Academy of Sciences
local.description.embargo2037-12-31
local.bibliographicCitation.startpage1
local.bibliographicCitation.lastpage20
local.identifier.doi10.1016/j.jmacro.2014.09.001
dc.date.updated2016-02-24T10:07:12Z
local.identifier.scopusID2-s2.0-84922380001
CollectionsANU Research Publications

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