The early warnings of banking crises: Interaction of broad liquidity and demand

1 论文标题    The early warnings of banking crises: Interaction of broad liquidity and demand deposits

2 作者信息     Lang, Michael； Schmidt, Paul G.

3 出处和链接（比如，NBER working paper No.11000）
     Journal of International Money and Finance

4 摘要   This paper explores the fundamentals in the run-up to systemic banking crises. It applies a visualisation approach that combines elements of an event study analysis and a fan chart technique. The approach helps identify potential leading indicators. A multivariate analysis follows. This paper presents a new early warning system for banking crises built upon these indicators. The interaction of liquidity ratio and loss of demand deposits is incorporated into the model and substantially improves the results. The selected factors are highly statistically significant and robust. The out-of-sample forecasts demonstrate the strong predictive power of the model.

88881-s2.0-S0261560615001928-main.pdf (2.16 MB)

2016-1-22 23:31:48 上传

fumingxu 发表于 2016-1-22 23:20

谢谢！！！