Arbeitspapier
What causes banking crises? An empirical investigation for the world economy
We add the Bernanke-Gertler-Gilchrist model to a world model consisting of the US, the Eurozone and the Rest of the World in order to explore the causes of the banking crisis. We test the model against linear-detrended data and reestimate it by indirect inference; the resulting model passes the Wald test only on outputs in the two countries. We then extract the model's implied residuals on unfiltered data to replicate how the model predicts the crisis. Banking shocks worsen the crisis but 'traditional' shocks explain the bulk of the crisis; the non-stationarity of the productivity shocks plays a key role. Crises occur when there is a 'run' of bad shocks; based on this sample Great Recessions occur on average once every quarter century. Financial shocks on their own, even when extreme, do not cause crises - provided the government acts swiftly to counteract such a shock as happened in this sample.
- Language
-
Englisch
- Bibliographic citation
-
Series: Cardiff Economics Working Papers ; No. E2013/3
- Classification
-
Wirtschaft
- Subject
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Bankenkrise
Dynamisches Gleichgewicht
Statistischer Test
Schätzung
USA
EU-Staaten
Welt
- Event
-
Geistige Schöpfung
- (who)
-
Le, Vo Phuong Mai
Meenagh, David
Minford, Patrick
Ou, Zhirong
- Event
-
Veröffentlichung
- (who)
-
Cardiff University, Cardiff Business School
- (where)
-
Cardiff
- (when)
-
2013
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Le, Vo Phuong Mai
- Meenagh, David
- Minford, Patrick
- Ou, Zhirong
- Cardiff University, Cardiff Business School
Time of origin
- 2013
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