A Markov-Chain Measure of Systemic Banking Crisis Frequency
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Authors
Tambakis, D.
Abstract
This study nests historical evidence for credit growth-fuelled financial instability in a 2-state non-homogeneous Markov chain with logistic crisis incidence. A long-run frequency measure is defined and calibrated for 17 advanced economies from 1870-2016.
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Keywords
Credit cycle, Systemic banking crises, Markov chain
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Faculty of Economics, University of Cambridge