메뉴 건너뛰기




Volumn 35, Issue , 2013, Pages 1-19

Leading indicators of crisis incidence: Evidence from developed countries

Author keywords

Bayesian model averaging; Crises; Dynamic panel; Early warning indicators; Panel VAR

Indexed keywords


EID: 84874368315     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jimonfin.2013.01.001     Document Type: Article
Times cited : (75)

References (51)
  • 1
    • 79959957517 scopus 로고    scopus 로고
    • Quasi real time early warning indicators for costly asset price boom/bust cycles: a role for global liquidity
    • Alessi L., Detken C. Quasi real time early warning indicators for costly asset price boom/bust cycles: a role for global liquidity. European Journal of Political Economy 2011, 27(3):520-533.
    • (2011) European Journal of Political Economy , vol.27 , Issue.3 , pp. 520-533
    • Alessi, L.1    Detken, C.2
  • 2
    • 49049140143 scopus 로고
    • Formulation and estimation of dynamic models using panel data
    • Anderson T.W., Hsiao C. Formulation and estimation of dynamic models using panel data. Journal of Econometrics 1982, 18(1):47-82.
    • (1982) Journal of Econometrics , vol.18 , Issue.1 , pp. 47-82
    • Anderson, T.W.1    Hsiao, C.2
  • 3
    • 84881844837 scopus 로고
    • Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations
    • Arellano M., Bond S. Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. Review of Economic Studies 1991, 58(2):277-297.
    • (1991) Review of Economic Studies , vol.58 , Issue.2 , pp. 277-297
    • Arellano, M.1    Bond, S.2
  • 4
    • 58149364940 scopus 로고
    • Another look at the instrumental variable estimation of error-components models
    • Arellano M., Bover O. Another look at the instrumental variable estimation of error-components models. Journal of Econometrics 1995, 68(1):29-51.
    • (1995) Journal of Econometrics , vol.68 , Issue.1 , pp. 29-51
    • Arellano, M.1    Bover, O.2
  • 6
    • 77951068524 scopus 로고    scopus 로고
    • Bank regulation, property prices and early warning systems for banking crises in OECD countries
    • Barrell R., Davis E.P., Karim D., Liadze I. Bank regulation, property prices and early warning systems for banking crises in OECD countries. Journal of Banking & Finance 2010, 34(9):2255-2264.
    • (2010) Journal of Banking & Finance , vol.34 , Issue.9 , pp. 2255-2264
    • Barrell, R.1    Davis, E.P.2    Karim, D.3    Liadze, I.4
  • 7
    • 30844467304 scopus 로고    scopus 로고
    • Assessing early warning systems: how have they worked in practice?
    • Berg A., Borensztein E., Pattillo C. Assessing early warning systems: how have they worked in practice?. IMF Staff Papers 2005, 52(3):462-502.
    • (2005) IMF Staff Papers , vol.52 , Issue.3 , pp. 462-502
    • Berg, A.1    Borensztein, E.2    Pattillo, C.3
  • 8
    • 0000112202 scopus 로고    scopus 로고
    • Are currency crises predictable? a test
    • Berg A., Pattillo C. Are currency crises predictable? a test. IMF Staff Papers 1999, 46(2):107-138.
    • (1999) IMF Staff Papers , vol.46 , Issue.2 , pp. 107-138
    • Berg, A.1    Pattillo, C.2
  • 9
    • 0006710657 scopus 로고
    • Leading indicators of currency devaluations
    • Bilson J.F.O. Leading indicators of currency devaluations. Columbia Journal of World Business 1979, 14(4):62-76.
    • (1979) Columbia Journal of World Business , vol.14 , Issue.4 , pp. 62-76
    • Bilson, J.F.O.1
  • 10
    • 0001438979 scopus 로고    scopus 로고
    • Initial conditions and moment restrictions in dynamic panel data models
    • Blundell R., Bond S. Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics 1998, 87(1):115-143.
    • (1998) Journal of Econometrics , vol.87 , Issue.1 , pp. 115-143
    • Blundell, R.1    Bond, S.2
  • 12
    • 11844301029 scopus 로고    scopus 로고
    • Assessing the risk of banking crisis
    • December
    • Borio C., Lowe P. Assessing the risk of banking crisis. BIS Quarterly Review 2002, 43-54. December.
    • (2002) BIS Quarterly Review , pp. 43-54
    • Borio, C.1    Lowe, P.2
  • 13
    • 0036613524 scopus 로고    scopus 로고
    • Leading indicators of currency crises for emerging countries
    • Burkart O., Coudert V. Leading indicators of currency crises for emerging countries. Emerging Markets Review 2002, 3(2):107-133.
    • (2002) Emerging Markets Review , vol.3 , Issue.2 , pp. 107-133
    • Burkart, O.1    Coudert, V.2
  • 15
    • 84856951866 scopus 로고    scopus 로고
    • Balance of payment crises in emerging markets: how early were the 'early' warning signals?
    • Bussiere M. Balance of payment crises in emerging markets: how early were the 'early' warning signals?. Applied Economics 2013, 45(12):1601-1623.
    • (2013) Applied Economics , vol.45 , Issue.12 , pp. 1601-1623
    • Bussiere, M.1
  • 19
    • 0242369007 scopus 로고    scopus 로고
    • Yield spreads on EMU government bonds
    • Codogno L., Favero C., Missale A. Yield spreads on EMU government bonds. Economic Policy 2003, 18(37):503-532.
    • (2003) Economic Policy , vol.18 , Issue.37 , pp. 503-532
    • Codogno, L.1    Favero, C.2    Missale, A.3
  • 20
    • 70350383625 scopus 로고    scopus 로고
    • On the determinants of currency crisis: the role of model uncertainty
    • Crespo-Cuaresma J., Slacik T. On the determinants of currency crisis: the role of model uncertainty. Journal of Macroeconomics 2009, 31(4):621-632.
    • (2009) Journal of Macroeconomics , vol.31 , Issue.4 , pp. 621-632
    • Crespo-Cuaresma, J.1    Slacik, T.2
  • 21
    • 43049103128 scopus 로고    scopus 로고
    • Comparing early warning systems for banking crises
    • Davis E.P., Karim D. Comparing early warning systems for banking crises. Journal of Financial Stability 2008, 4(2):89-120.
    • (2008) Journal of Financial Stability , vol.4 , Issue.2 , pp. 89-120
    • Davis, E.P.1    Karim, D.2
  • 22
    • 78650925679 scopus 로고    scopus 로고
    • Default priors and predictive performance in Bayesian model averaging, with application to growth determinants
    • Eicher T.S., Papageorgiou C., Raftery A.E. Default priors and predictive performance in Bayesian model averaging, with application to growth determinants. Journal of Applied Econometrics 2011, 26(1):30-55.
    • (2011) Journal of Applied Econometrics , vol.26 , Issue.1 , pp. 30-55
    • Eicher, T.S.1    Papageorgiou, C.2    Raftery, A.E.3
  • 23
    • 28144448821 scopus 로고    scopus 로고
    • Why does the yield curve predict output and inflation?
    • Estrella A. Why does the yield curve predict output and inflation?. Economic Journal 2007, 115(505):722-744.
    • (2007) Economic Journal , vol.115 , Issue.505 , pp. 722-744
    • Estrella, A.1
  • 24
    • 84977702570 scopus 로고
    • The term structure as a predictor of real economic activity
    • Estrella A., Hardouvelis G.A. The term structure as a predictor of real economic activity. The Journal of Finance 1991, 46(2):555-576.
    • (1991) The Journal of Finance , vol.46 , Issue.2 , pp. 555-576
    • Estrella, A.1    Hardouvelis, G.A.2
  • 27
    • 18044404766 scopus 로고    scopus 로고
    • Benchmark priors for Bayesian model averaging
    • Fernandez C., Ley E., Steel M. Benchmark priors for Bayesian model averaging. Journal of Econometrics 2001, 100(2):381-427.
    • (2001) Journal of Econometrics , vol.100 , Issue.2 , pp. 381-427
    • Fernandez, C.1    Ley, E.2    Steel, M.3
  • 29
    • 0042762133 scopus 로고    scopus 로고
    • Currency crashes in emerging markets: an empirical treatment
    • Frankel J.A., Rose A.K. Currency crashes in emerging markets: an empirical treatment. Journal of International Economics 1996, 41(3-4):351-366.
    • (1996) Journal of International Economics , vol.41 , Issue.3-4 , pp. 351-366
    • Frankel, J.A.1    Rose, A.K.2
  • 30
    • 84862520350 scopus 로고    scopus 로고
    • Can leading indicators assess country vulnerability? Evidence from the 2008-09 global financial crisis
    • Frankel J.A., Saravelos G. Can leading indicators assess country vulnerability? Evidence from the 2008-09 global financial crisis. Journal of International Economics 2012, 87(2):216-231.
    • (2012) Journal of International Economics , vol.87 , Issue.2 , pp. 216-231
    • Frankel, J.A.1    Saravelos, G.2
  • 33
    • 0002816448 scopus 로고
    • Estimating vector autoregressions with panel data
    • Holtz-Eakin D., Newey W., Rosen H.S. Estimating vector autoregressions with panel data. Econometrica 1988, 56(6):1371-1395.
    • (1988) Econometrica , vol.56 , Issue.6 , pp. 1371-1395
    • Holtz-Eakin, D.1    Newey, W.2    Rosen, H.S.3
  • 37
    • 0039624712 scopus 로고    scopus 로고
    • The twin crises: the causes of banking and balance-of-payments problems
    • Kaminsky G.L., Reinhart C.M. The twin crises: the causes of banking and balance-of-payments problems. American Economic Review 1999, 89(3):473-500.
    • (1999) American Economic Review , vol.89 , Issue.3 , pp. 473-500
    • Kaminsky, G.L.1    Reinhart, C.M.2
  • 39
    • 0000966965 scopus 로고
    • A model of balance-of-payments crises
    • Krugman P. A model of balance-of-payments crises. Journal of Money, Credit and Banking 1979, 11(3):311-325.
    • (1979) Journal of Money, Credit and Banking , vol.11 , Issue.3 , pp. 311-325
    • Krugman, P.1
  • 42
    • 33646892264 scopus 로고    scopus 로고
    • Financial development and dynamic investment behavior: evidence from panel VAR
    • Love I., Zicchino L. Financial development and dynamic investment behavior: evidence from panel VAR. The Quarterly Review of Economics and Finance 2006, 46(2):190-210.
    • (2006) The Quarterly Review of Economics and Finance , vol.46 , Issue.2 , pp. 190-210
    • Love, I.1    Zicchino, L.2
  • 43
    • 21844520724 scopus 로고
    • Bayesian graphical models for discrete data
    • Madigan D., York J. Bayesian graphical models for discrete data. International Statistical Review 1995, 63(2):215-232.
    • (1995) International Statistical Review , vol.63 , Issue.2 , pp. 215-232
    • Madigan, D.1    York, J.2
  • 45
    • 0000604269 scopus 로고
    • Biases in dynamic models with fixed effects
    • Nickell S.J. Biases in dynamic models with fixed effects. Econometrica 1981, 49(6):1417-1426.
    • (1981) Econometrica , vol.49 , Issue.6 , pp. 1417-1426
    • Nickell, S.J.1
  • 46
    • 0001201909 scopus 로고
    • Bayesian model selection in social research
    • Raftery A.E. Bayesian model selection in social research. Sociological Methodology 1995, 25:111-163.
    • (1995) Sociological Methodology , vol.25 , pp. 111-163
    • Raftery, A.E.1
  • 47
    • 68149179207 scopus 로고    scopus 로고
    • How to do xtabond2: an introduction to difference and system GMM in Stata
    • Roodman D. How to do xtabond2: an introduction to difference and system GMM in Stata. Stata Journal 2009, 9(1):86-136.
    • (2009) Stata Journal , vol.9 , Issue.1 , pp. 86-136
    • Roodman, D.1
  • 48
    • 79952192321 scopus 로고    scopus 로고
    • Cross-country causes and consequences of the 2008 crisis: an update
    • Rose A.K., Spiegel M.M. Cross-country causes and consequences of the 2008 crisis: an update. European Economic Review 2011, 55(3):309-324.
    • (2011) European Economic Review , vol.55 , Issue.3 , pp. 309-324
    • Rose, A.K.1    Spiegel, M.M.2
  • 49
    • 21244440478 scopus 로고    scopus 로고
    • Determinants of long-term growth: a Bayesian averaging of classical estimates (BACE) approach
    • Sala-i-Martin X., Doppelhofer G., Miller R. Determinants of long-term growth: a Bayesian averaging of classical estimates (BACE) approach. American Economic Review 2004, 94(4):813-835.
    • (2004) American Economic Review , vol.94 , Issue.4 , pp. 813-835
    • Sala-i-Martin, X.1    Doppelhofer, G.2    Miller, R.3
  • 51
    • 84874357638 scopus 로고    scopus 로고
    • Macro-prudential regulation as an approach to contain systemic risk: economic foundations, diagnostic tools and policy instruments
    • Trichet J.C. Macro-prudential regulation as an approach to contain systemic risk: economic foundations, diagnostic tools and policy instruments. Speech at the 13th Conference of the ECB-CFS Research Network, Frankfurt am Main, September 27, 2010 2010, http://www.ecb.int/press/key/date/2010/html/sp100927.en.html.
    • (2010) Speech at the 13th Conference of the ECB-CFS Research Network, Frankfurt am Main, September 27, 2010
    • Trichet, J.C.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.