Forecasting banking crises in developing countries: a dynamic probit approach

Detalhes bibliográficos
Autor(a) principal: Costa, Diogo Carvalho
Data de Publicação: 2020
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/105989
Resumo: Banking crises have afflicted economies in developing countries at least as much as they have in developed ones. In this paper, we discuss possible indicators that allow an effective forecast of banking crises based on an historical analysis of past crises, and develop several probit models, using yearly data from 1960 to 2014 for 33 developing countries across Latin America, Africa and Asia-Pacific. We find that a dynamic probit model which incorporates exuberance dummy variables gives the best forecasting results. Data on exports, inflation, broad money and birth rate provide the best indicators across the different models tested.
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spelling Forecasting banking crises in developing countries: a dynamic probit approachEarly warning systemDynamic probit modelsBanking crisisDomínio/Área Científica::Ciências Sociais::Economia e GestãoBanking crises have afflicted economies in developing countries at least as much as they have in developed ones. In this paper, we discuss possible indicators that allow an effective forecast of banking crises based on an historical analysis of past crises, and develop several probit models, using yearly data from 1960 to 2014 for 33 developing countries across Latin America, Africa and Asia-Pacific. We find that a dynamic probit model which incorporates exuberance dummy variables gives the best forecasting results. Data on exports, inflation, broad money and birth rate provide the best indicators across the different models tested.Rodrigues, Paulo M. M.RUNCosta, Diogo Carvalho2020-10-21T13:04:01Z2020-01-212020-01-032020-01-21T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/105989TID:202494772enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:51:14Zoai:run.unl.pt:10362/105989Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:40:39.280957Repositório 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 Forecasting banking crises in developing countries: a dynamic probit approach
title Forecasting banking crises in developing countries: a dynamic probit approach
spellingShingle Forecasting banking crises in developing countries: a dynamic probit approach
Costa, Diogo Carvalho
Early warning system
Dynamic probit models
Banking crisis
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Forecasting banking crises in developing countries: a dynamic probit approach
title_full Forecasting banking crises in developing countries: a dynamic probit approach
title_fullStr Forecasting banking crises in developing countries: a dynamic probit approach
title_full_unstemmed Forecasting banking crises in developing countries: a dynamic probit approach
title_sort Forecasting banking crises in developing countries: a dynamic probit approach
author Costa, Diogo Carvalho
author_facet Costa, Diogo Carvalho
author_role author
dc.contributor.none.fl_str_mv Rodrigues, Paulo M. M.
RUN
dc.contributor.author.fl_str_mv Costa, Diogo Carvalho
dc.subject.por.fl_str_mv Early warning system
Dynamic probit models
Banking crisis
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Early warning system
Dynamic probit models
Banking crisis
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description Banking crises have afflicted economies in developing countries at least as much as they have in developed ones. In this paper, we discuss possible indicators that allow an effective forecast of banking crises based on an historical analysis of past crises, and develop several probit models, using yearly data from 1960 to 2014 for 33 developing countries across Latin America, Africa and Asia-Pacific. We find that a dynamic probit model which incorporates exuberance dummy variables gives the best forecasting results. Data on exports, inflation, broad money and birth rate provide the best indicators across the different models tested.
publishDate 2020
dc.date.none.fl_str_mv 2020-10-21T13:04:01Z
2020-01-21
2020-01-03
2020-01-21T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/105989
TID:202494772
url http://hdl.handle.net/10362/105989
identifier_str_mv TID:202494772
dc.language.iso.fl_str_mv eng
language eng
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eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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instacron:RCAAP
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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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