The aftermath of the subprime crisis a clustering analysis of world banking sector
Autor(a) principal: | |
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Data de Publicação: | 2014 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | https://ciencia.iscte-iul.pt/public/pub/id/8858 http://hdl.handle.net/10071/8308 |
Resumo: | The banking sector has been on the spotlight in both academic and policy circles since the outburst of the subprime bubble. The crisis has its roots in the US, but there were spillover effects around the world. We study the behavior of the banking sector of 40 countries during the period 2007–2010, using a new clustering methodology. Our methodology combines regime switching models in the modeling of longitudinal variations with cluster analysis that identifies groups of countries with similar profiles. Our results show that although there were periods of intense contagion, the impact was uneven among sample countries. The crisis had episodic effects on some countries, while others had severe devaluations after the Lehman Brothers bankruptcy. Finally, a small group of banking systems has plunged into a long severe crisis. |
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The aftermath of the subprime crisis a clustering analysis of world banking sectorBanking sectorClustering methodsTime series dataRegime switching modelsHidden Markov modelThe banking sector has been on the spotlight in both academic and policy circles since the outburst of the subprime bubble. The crisis has its roots in the US, but there were spillover effects around the world. We study the behavior of the banking sector of 40 countries during the period 2007–2010, using a new clustering methodology. Our methodology combines regime switching models in the modeling of longitudinal variations with cluster analysis that identifies groups of countries with similar profiles. Our results show that although there were periods of intense contagion, the impact was uneven among sample countries. The crisis had episodic effects on some countries, while others had severe devaluations after the Lehman Brothers bankruptcy. Finally, a small group of banking systems has plunged into a long severe crisis.Springer Verlag2015-01-14T12:44:44Z2014-01-01T00:00:00Z20142015-01-14T12:35:41Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttps://ciencia.iscte-iul.pt/public/pub/id/8858http://hdl.handle.net/10071/8308eng0924-865XDias, J. G.Ramos, S.info:eu-repo/semantics/embargoedAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T17:33:40Zoai:repositorio.iscte-iul.pt:10071/8308Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:15:11.945359Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
The aftermath of the subprime crisis a clustering analysis of world banking sector |
title |
The aftermath of the subprime crisis a clustering analysis of world banking sector |
spellingShingle |
The aftermath of the subprime crisis a clustering analysis of world banking sector Dias, J. G. Banking sector Clustering methods Time series data Regime switching models Hidden Markov model |
title_short |
The aftermath of the subprime crisis a clustering analysis of world banking sector |
title_full |
The aftermath of the subprime crisis a clustering analysis of world banking sector |
title_fullStr |
The aftermath of the subprime crisis a clustering analysis of world banking sector |
title_full_unstemmed |
The aftermath of the subprime crisis a clustering analysis of world banking sector |
title_sort |
The aftermath of the subprime crisis a clustering analysis of world banking sector |
author |
Dias, J. G. |
author_facet |
Dias, J. G. Ramos, S. |
author_role |
author |
author2 |
Ramos, S. |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Dias, J. G. Ramos, S. |
dc.subject.por.fl_str_mv |
Banking sector Clustering methods Time series data Regime switching models Hidden Markov model |
topic |
Banking sector Clustering methods Time series data Regime switching models Hidden Markov model |
description |
The banking sector has been on the spotlight in both academic and policy circles since the outburst of the subprime bubble. The crisis has its roots in the US, but there were spillover effects around the world. We study the behavior of the banking sector of 40 countries during the period 2007–2010, using a new clustering methodology. Our methodology combines regime switching models in the modeling of longitudinal variations with cluster analysis that identifies groups of countries with similar profiles. Our results show that although there were periods of intense contagion, the impact was uneven among sample countries. The crisis had episodic effects on some countries, while others had severe devaluations after the Lehman Brothers bankruptcy. Finally, a small group of banking systems has plunged into a long severe crisis. |
publishDate |
2014 |
dc.date.none.fl_str_mv |
2014-01-01T00:00:00Z 2014 2015-01-14T12:44:44Z 2015-01-14T12:35:41Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://ciencia.iscte-iul.pt/public/pub/id/8858 http://hdl.handle.net/10071/8308 |
url |
https://ciencia.iscte-iul.pt/public/pub/id/8858 http://hdl.handle.net/10071/8308 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
0924-865X |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/embargoedAccess |
eu_rights_str_mv |
embargoedAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Springer Verlag |
publisher.none.fl_str_mv |
Springer Verlag |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799134709067808768 |