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Synchronisation of financial crises


Type

Working Paper

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Authors

Dungey, Mardi 
Jacobs, Jan P A M 
Lestano 

Abstract

This paper develops concordance indices for studying the simultaneous occurrence of financial crises. The indices are designed to cope with these typically low incidence events. This leads us to confine attention to non-tranquil periods to develop a bivariate index and its multivariate analog for potentially serially correlated categorical data. An application to the Bordo et al. (2001) data set reveals the extent of concordance in banking and currency crises across countries. The internationalisation of financial crises in the 20th century is shown to have increased for currency crises and decreased for banking crises.

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Keywords

financial crises, synchronisation, concordance indices, independence tests, historical analysis

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Publisher

CFAP, Cambridge Judge Business School, University of Cambridge

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