Outdated browser

You are using an outdated browser. DNB.nl works best with:

05 July 2021 Research Supervision label Working Papers

We construct a money market pressure index based on central bank reserves and the short-term nominal interest rate to identify banking crises, thereby extending the index proposed by Von Hagen and Ho (2007). We compare the crises identified by both indices with banking crises according to the benchmark of Laeven and Valencia (2010). Both indices identify more crises than these benchmarks. The crises identified by our index are more in line with the benchmark than the crises identified by the Von Hagen and Ho index, while our index also gives fewer false signals.
 
Keywords: banking crises, money market pressure index.
JEL code: C43, E44, G21.

Working paper no. 397

397 - Identifying banking crises using money market pressure: new evidence for a large set of countries

1.3MB PDF
Download

authors

  • Zhongbo Jing
  • Jakob de Haan
  • Jan Jacobs
  • Haizhen Yang