Quantitative Analysis of Crisis : Crisis Identification and Causality
Studies use different conceptual and operational definitions of crises. The different crisis identifications can lead to inconsistent conclusions and policy formulation even if the same analytical framework is applied. Also, most studies focus on only a few types of crises. This narrow focus on cris...
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| Format: | Policy Research Working Paper |
| Language: | English |
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World Bank, Washington, DC
2012
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| Online Access: | http://documents.worldbank.org/curated/en/2005/05/5800550/quantitative-analysis-crisis-crisis-identification-causality http://hdl.handle.net/10986/8947 |
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okr-10986-89472021-04-23T14:02:42Z Quantitative Analysis of Crisis : Crisis Identification and Causality Ishihara, Yoichiro ADVERSE EFFECTS BALANCE SHEET BALANCE SHEETS BANK RECAPITALIZATION BANK RUN BANK RUNS BANKING CRISES BANKING CRISIS BANKING SECTOR BANKING SYSTEM BANKRUPTCY CAPITAL ACCOUNT CAPITAL FLIGHT CAPITAL INFLOWS CAPITAL OUTFLOWS COMMERCIAL CREDITORS COMMERCIAL DEBT CRISIS EPISODES CURRENCY CRISES CURRENCY DEPRECIATION CURRENT ACCOUNT CURRENT ACCOUNT DEFICIT DATA AVAILABILITY DEBT RESTRUCTURING DEBT SERVICING DEMAND DEPOSITS DEPOSITORS DEPOSITS DEVALUATION DEVELOPING COUNTRIES DEVELOPING COUNTRY DEVELOPMENT ECONOMICS EARLY WARNING SYSTEM ECONOMIC GROWTH ECONOMIC RESEARCH EMERGING ECONOMIES EXCHANGE RATE EXCHANGE RATE REGIME EXCHANGE RATE REGIMES EXCHANGE RATE STABILITY EXCHANGE RATES EXPORTS EXTERNAL DEBT FINANCIAL CRISES FINANCIAL CRISIS FINANCIAL INSTITUTIONS FINANCIAL MARKETS FINANCIAL SECTOR FINANCIAL SYSTEM FOREIGN ASSETS FOREIGN CURRENCY FOREIGN INVESTORS GDP GNP GROWTH CRISES GROWTH RATE GROWTH RATES INFLATION INSOLVENCY INSOLVENT BANKS INTEREST RATES INTERNATIONAL DEVELOPMENT INTERNATIONAL RESERVES LATIN AMERICAN LIQUIDITY LOCAL CURRENCY MACROECONOMIC CONDITIONS NATIONALIZATION NATIONALIZATION OF BANKS NET VALUE OPEN ECONOMIES POLICY RESEARCH PUBLIC DEBT QUANTITATIVE ANALYSIS REAL EXCHANGE REAL EXCHANGE RATE REAL EXCHANGE RATES RECAPITALIZATION RECESSION RELATIVE FREQUENCY RESERVE ADEQUACY SOLVENCY SOUTH ASIAN STABILIZATION STABILIZATION PROGRAM STANDARD DEVIATION TIME DEPOSITS TOTAL SAMPLE TRANSMISSION MECHANISM Studies use different conceptual and operational definitions of crises. The different crisis identifications can lead to inconsistent conclusions and policy formulation even if the same analytical framework is applied. Also, most studies focus on only a few types of crises. This narrow focus on crises may not capture the multidimensionality of crises. Seven crisis types are analyzed, namely (1) liquidity type banking crises, (2) solvency type banking crises, (3) balance of payments crises, (4) currency crises, (5) debt crises, (6) growth rate crises, and (7) financial crises. Crisis data were collected from 15 emerging economies in 1980-2002 on a quarterly basis. The crisis identification exercise finds that multidimensionality in which different crisis types occur in short periods is one of the most important characteristics of recent crises. Further, the Granger causality tests in five Asian economies (Indonesia, the Republic of Korea, Malaysia, the Philippines, and Thailand) find that currency crises tend to trigger other types of crises, and therefore exchange rate management is essential. 2012-06-25T17:19:06Z 2012-06-25T17:19:06Z 2005-05 http://documents.worldbank.org/curated/en/2005/05/5800550/quantitative-analysis-crisis-crisis-identification-causality http://hdl.handle.net/10986/8947 English Policy Research Working Paper; No. 3598 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ World Bank World Bank, Washington, DC Publications & Research :: Policy Research Working Paper Publications & Research East Asia and Pacific Indonesia Korea, Republic of Thailand Philippines Malaysia |
| repository_type |
Digital Repository |
| institution_category |
Foreign Institution |
| institution |
Digital Repositories |
| building |
World Bank Open Knowledge Repository |
| collection |
World Bank |
| language |
English |
| topic |
ADVERSE EFFECTS BALANCE SHEET BALANCE SHEETS BANK RECAPITALIZATION BANK RUN BANK RUNS BANKING CRISES BANKING CRISIS BANKING SECTOR BANKING SYSTEM BANKRUPTCY CAPITAL ACCOUNT CAPITAL FLIGHT CAPITAL INFLOWS CAPITAL OUTFLOWS COMMERCIAL CREDITORS COMMERCIAL DEBT CRISIS EPISODES CURRENCY CRISES CURRENCY DEPRECIATION CURRENT ACCOUNT CURRENT ACCOUNT DEFICIT DATA AVAILABILITY DEBT RESTRUCTURING DEBT SERVICING DEMAND DEPOSITS DEPOSITORS DEPOSITS DEVALUATION DEVELOPING COUNTRIES DEVELOPING COUNTRY DEVELOPMENT ECONOMICS EARLY WARNING SYSTEM ECONOMIC GROWTH ECONOMIC RESEARCH EMERGING ECONOMIES EXCHANGE RATE EXCHANGE RATE REGIME EXCHANGE RATE REGIMES EXCHANGE RATE STABILITY EXCHANGE RATES EXPORTS EXTERNAL DEBT FINANCIAL CRISES FINANCIAL CRISIS FINANCIAL INSTITUTIONS FINANCIAL MARKETS FINANCIAL SECTOR FINANCIAL SYSTEM FOREIGN ASSETS FOREIGN CURRENCY FOREIGN INVESTORS GDP GNP GROWTH CRISES GROWTH RATE GROWTH RATES INFLATION INSOLVENCY INSOLVENT BANKS INTEREST RATES INTERNATIONAL DEVELOPMENT INTERNATIONAL RESERVES LATIN AMERICAN LIQUIDITY LOCAL CURRENCY MACROECONOMIC CONDITIONS NATIONALIZATION NATIONALIZATION OF BANKS NET VALUE OPEN ECONOMIES POLICY RESEARCH PUBLIC DEBT QUANTITATIVE ANALYSIS REAL EXCHANGE REAL EXCHANGE RATE REAL EXCHANGE RATES RECAPITALIZATION RECESSION RELATIVE FREQUENCY RESERVE ADEQUACY SOLVENCY SOUTH ASIAN STABILIZATION STABILIZATION PROGRAM STANDARD DEVIATION TIME DEPOSITS TOTAL SAMPLE TRANSMISSION MECHANISM |
| spellingShingle |
ADVERSE EFFECTS BALANCE SHEET BALANCE SHEETS BANK RECAPITALIZATION BANK RUN BANK RUNS BANKING CRISES BANKING CRISIS BANKING SECTOR BANKING SYSTEM BANKRUPTCY CAPITAL ACCOUNT CAPITAL FLIGHT CAPITAL INFLOWS CAPITAL OUTFLOWS COMMERCIAL CREDITORS COMMERCIAL DEBT CRISIS EPISODES CURRENCY CRISES CURRENCY DEPRECIATION CURRENT ACCOUNT CURRENT ACCOUNT DEFICIT DATA AVAILABILITY DEBT RESTRUCTURING DEBT SERVICING DEMAND DEPOSITS DEPOSITORS DEPOSITS DEVALUATION DEVELOPING COUNTRIES DEVELOPING COUNTRY DEVELOPMENT ECONOMICS EARLY WARNING SYSTEM ECONOMIC GROWTH ECONOMIC RESEARCH EMERGING ECONOMIES EXCHANGE RATE EXCHANGE RATE REGIME EXCHANGE RATE REGIMES EXCHANGE RATE STABILITY EXCHANGE RATES EXPORTS EXTERNAL DEBT FINANCIAL CRISES FINANCIAL CRISIS FINANCIAL INSTITUTIONS FINANCIAL MARKETS FINANCIAL SECTOR FINANCIAL SYSTEM FOREIGN ASSETS FOREIGN CURRENCY FOREIGN INVESTORS GDP GNP GROWTH CRISES GROWTH RATE GROWTH RATES INFLATION INSOLVENCY INSOLVENT BANKS INTEREST RATES INTERNATIONAL DEVELOPMENT INTERNATIONAL RESERVES LATIN AMERICAN LIQUIDITY LOCAL CURRENCY MACROECONOMIC CONDITIONS NATIONALIZATION NATIONALIZATION OF BANKS NET VALUE OPEN ECONOMIES POLICY RESEARCH PUBLIC DEBT QUANTITATIVE ANALYSIS REAL EXCHANGE REAL EXCHANGE RATE REAL EXCHANGE RATES RECAPITALIZATION RECESSION RELATIVE FREQUENCY RESERVE ADEQUACY SOLVENCY SOUTH ASIAN STABILIZATION STABILIZATION PROGRAM STANDARD DEVIATION TIME DEPOSITS TOTAL SAMPLE TRANSMISSION MECHANISM Ishihara, Yoichiro Quantitative Analysis of Crisis : Crisis Identification and Causality |
| geographic_facet |
East Asia and Pacific Indonesia Korea, Republic of Thailand Philippines Malaysia |
| relation |
Policy Research Working Paper; No. 3598 |
| description |
Studies use different conceptual and operational definitions of crises. The different crisis identifications can lead to inconsistent conclusions and policy formulation even if the same analytical framework is applied. Also, most studies focus on only a few types of crises. This narrow focus on crises may not capture the multidimensionality of crises. Seven crisis types are analyzed, namely (1) liquidity type banking crises, (2) solvency type banking crises, (3) balance of payments crises, (4) currency crises, (5) debt crises, (6) growth rate crises, and (7) financial crises. Crisis data were collected from 15 emerging economies in 1980-2002 on a quarterly basis. The crisis identification exercise finds that multidimensionality in which different crisis types occur in short periods is one of the most important characteristics of recent crises. Further, the Granger causality tests in five Asian economies (Indonesia, the Republic of Korea, Malaysia, the Philippines, and Thailand) find that currency crises tend to trigger other types of crises, and therefore exchange rate management is essential. |
| format |
Publications & Research :: Policy Research Working Paper |
| author |
Ishihara, Yoichiro |
| author_facet |
Ishihara, Yoichiro |
| author_sort |
Ishihara, Yoichiro |
| title |
Quantitative Analysis of Crisis : Crisis Identification and Causality |
| title_short |
Quantitative Analysis of Crisis : Crisis Identification and Causality |
| title_full |
Quantitative Analysis of Crisis : Crisis Identification and Causality |
| title_fullStr |
Quantitative Analysis of Crisis : Crisis Identification and Causality |
| title_full_unstemmed |
Quantitative Analysis of Crisis : Crisis Identification and Causality |
| title_sort |
quantitative analysis of crisis : crisis identification and causality |
| publisher |
World Bank, Washington, DC |
| publishDate |
2012 |
| url |
http://documents.worldbank.org/curated/en/2005/05/5800550/quantitative-analysis-crisis-crisis-identification-causality http://hdl.handle.net/10986/8947 |
| _version_ |
1764407417819365376 |