Quantitative Analysis of Crisis : Crisis Identification and Causality

Studies use different conceptual and operational definitions of crises. The different crisis identifications can lead to inconsistent conclusions and policy formulation even if the same analytical framework is applied. Also, most studies focus on only a few types of crises. This narrow focus on crises may not capture the multidimensionality of crises. Seven crisis types are analyzed, namely (1) liquidity type banking crises, (2) solvency type banking crises, (3) balance of payments crises, (4) currency crises, (5) debt crises, (6) growth rate crises, and (7) financial crises. Crisis data were collected from 15 emerging economies in 1980-2002 on a quarterly basis. The crisis identification exercise finds that multidimensionality in which different crisis types occur in short periods is one of the most important characteristics of recent crises. Further, the Granger causality tests in five Asian economies (Indonesia, the Republic of Korea, Malaysia, the Philippines, and Thailand) find that currency crises tend to trigger other types of crises, and therefore exchange rate management is essential.

Bibliographic Details

Main Author:	Ishihara, Yoichiro
Language:	English
Published:	World Bank, Washington, DC 2005-05
Subjects:	ADVERSE EFFECTS, BALANCE SHEET, BALANCE SHEETS, BANK RECAPITALIZATION, BANK RUN, BANK RUNS, BANKING CRISES, BANKING CRISIS, BANKING SECTOR, BANKING SYSTEM, BANKRUPTCY, CAPITAL ACCOUNT, CAPITAL FLIGHT, CAPITAL INFLOWS, CAPITAL OUTFLOWS, COMMERCIAL CREDITORS, COMMERCIAL DEBT, CRISIS EPISODES, CURRENCY CRISES, CURRENCY DEPRECIATION, CURRENT ACCOUNT, CURRENT ACCOUNT DEFICIT, DATA AVAILABILITY, DEBT RESTRUCTURING, DEBT SERVICING, DEMAND DEPOSITS, DEPOSITORS, DEPOSITS, DEVALUATION, DEVELOPING COUNTRIES, DEVELOPING COUNTRY, DEVELOPMENT ECONOMICS, EARLY WARNING SYSTEM, ECONOMIC GROWTH, ECONOMIC RESEARCH, EMERGING ECONOMIES, EXCHANGE RATE, EXCHANGE RATE REGIME, EXCHANGE RATE REGIMES, EXCHANGE RATE STABILITY, EXCHANGE RATES, EXPORTS, EXTERNAL DEBT, FINANCIAL CRISES, FINANCIAL CRISIS, FINANCIAL INSTITUTIONS, FINANCIAL MARKETS, FINANCIAL SECTOR, FINANCIAL SYSTEM, FOREIGN ASSETS, FOREIGN CURRENCY, FOREIGN INVESTORS, GDP, GNP, GROWTH CRISES, GROWTH RATE, GROWTH RATES, INFLATION, INSOLVENCY, INSOLVENT BANKS, INTEREST RATES, INTERNATIONAL DEVELOPMENT, INTERNATIONAL RESERVES, LATIN AMERICAN, LIQUIDITY, LOCAL CURRENCY, MACROECONOMIC CONDITIONS, NATIONALIZATION, NATIONALIZATION OF BANKS, NET VALUE, OPEN ECONOMIES, POLICY RESEARCH, PUBLIC DEBT, QUANTITATIVE ANALYSIS, REAL EXCHANGE, REAL EXCHANGE RATE, REAL EXCHANGE RATES, RECAPITALIZATION, RECESSION, RELATIVE FREQUENCY, RESERVE ADEQUACY, SOLVENCY, SOUTH ASIAN, STABILIZATION, STABILIZATION PROGRAM, STANDARD DEVIATION, TIME DEPOSITS, TOTAL SAMPLE, TRANSMISSION MECHANISM,
Online Access:	http://documents.worldbank.org/curated/en/2005/05/5800550/quantitative-analysis-crisis-crisis-identification-causality https://hdl.handle.net/10986/8947
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