Synchronisation of financial crises
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Authors
Dungey, Mardi
Jacobs, Jan P A M
Lestano
Publication Date
2005-08Series
CFAP Working Paper
22
Publisher
CFAP, Cambridge Judge Business School, University of Cambridge
Language
English
Type
Working Paper
Metadata
Show full item recordCitation
Dungey, M., Jacobs, J. P. A. M., & Lestano. (2005). Synchronisation of financial crises. http://www.dspace.cam.ac.uk/handle/1810/225163
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.
Keywords
financial crises, synchronisation, concordance indices, independence tests, historical analysis
Identifiers
This record's URL: http://www.dspace.cam.ac.uk/handle/1810/225163