search query: @indexterm CURRENCY MARKETS / total: 142
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Author: | Falcetti, E. Tudela, M. |
Title: | What do twins share? A joint probit estimation of banking and currency crises |
Journal: | Economica
2008 : MAY, VOL. 75:298, p. 199-221 |
Index terms: | financial markets currency markets emerging markets banking crises models |
Language: | eng |
Abstract: | This study explores the determinants of twin crises and the direction of causality btw. banking and currency (here as: b-and-c.) crises in emerging markets. B-and-c. crises are modeled as dynamic events, correlated over time. Using panel data simulation techniques their probability is jointly estimated. B-and-c. crises are shown to be closely intertwined, being driven by common fundamentals. A strong state dependence is found, suggesting that countries with prior experience of banking crisis are more prone of experiencing a crisis again. Finally, their is found evidence of unobserved heterogeneity and autocorrelation in the error term structure. |
SCIMA