Financial crises: explanation, prediction, and interdependence

被引：0
作者：
Mekki Hamdaoui
SaifEddine Ayouni
Samir Maktouf
机构：
[1] Faculty of Economic Sciences and Management, Department of Economics, University of Tunis El Manar - University Campus Farhat Hached Tunis B.P. n° 94 - ROMMANA, Tunis
[2] Faculty of Economic Sciences and Management, Department of Quantitative Methods, University of Sousse, Rue Khalifa El Karoui Sahloul, Sousse
来源：
SN Business & Economics | / 2卷 / 8期
关键词：
Bayesian model averaging; Financial crises; Generalized method of moments; Multinomial and conditional logit; Time-varying relationship;
D O I：
10.1007/s43546-022-00241-2
中图分类号：
学科分类号：
摘要：
This study examines the relationship between different types of financial crises using various metrics. Various estimation techniques are used, including multinomial and conditional logit procedures, dynamic panel estimation, and Bayesian model averaging (BMA). The data consist of a sample of 49 countries over the period 1984–2016. We found that the banking sector reacts significantly to a shock that affects the national currency in developed countries. In addition, the national currency and the sovereign debt are negatively and significantly affected by the banking crisis, but are not statistically linked. In emerging countries, banking crises precede currency crises. Thus, there is a two-way relationship between currency and debt crises. In addition, ARDL results suggest a long-term significant relationship between different types of financial crises with a weak short-term binding in advanced countries. © The Author(s), under exclusive licence to Springer Nature Switzerland AG 2022.
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