254
Views
0
CrossRef citations to date
0
Altmetric
Research Article

Multinomial logit as an early warning model for predicting banking crises

ORCID Icon

References

  • Barrell, R., E. P. Davis, D. Karim, and I. Liadze. 2010. “Bank Regulation, Property Prices and Early Warning Systems for Banking Crises in OECD Countries.” NIESR Discussion Paper 330: 1–27.
  • Boh, S., S. Borgioli, A. Coman, B. Chiriacescu, A. Koban, J. Veiga, P. Kusmierczyk, M. Pirovano, and T. Schepen, 2017. “European Macroprudential Database.’ IFC-National Bank of Belgium Workshop on “Data needs and Statistics compilation for macroprudential analysis”. Brussels, Belgium, 18-19 May 2017.
  • Bussiere, M., and M. Fratzscher. 2006. “Towards a New Early Warning System of Financial Crises.” Journal of International Money and Finance 25: 953–973. doi:10.1016/j.jimonfin.2006.07.007.
  • Caggiano, G., P. Calice, and L. Leonida. 2014. “Early Warning Systems and Systemic Banking Crises in Low Income Countries: A Multinomial Logit Approach.” Journal of Banking & Finance 47: 258–269. doi:10.1016/j.jbankfin.2014.07.002.
  • Caggiano, G., P. Calice, L. Leonida, and G. Kapetanios. 2016. “Comparing Logit-Based Early Warning Systems: Does the Duration of Systemic Banking Crises Matter?” Journal of Empirical Finance 37: 104–116. doi:10.1016/j.jempfin.2016.01.005.
  • Demirgüç -Kunt, A., and E. Detragiache, 1998. “The Determinants of Banking Crises in Developing and Developed Countries.” IMF Staff Papers, 81–109.
  • Demirgüç -Kunt, A., and E. Detragiache. 2000. “Monitoring Banking Sector Fragility: A Multivariate Logit Approach.” The World Bank Economic Review 14: 287–307. doi:10.1093/wber/14.2.287.
  • Duprey, T., B. Klaus, and T. Peltonen. 2017. “Dating Systemic Financial Stress Episodes in the EU Countries.” Journal of Financial Stability 32: 30–56. doi:10.1016/j.jfs.2017.07.004.
  • Filippopoulou, C., E. Galariotis, and S. Spyrou. 2020. “An Early Warning System for Predicting Systemic Banking Crises in the Eurozone: A Logit Regression Approach.” Journal of Economic Behavior & Organization 172: 344–363. doi:10.1016/j.jebo.2019.12.023.
  • Garcia-de-Andoain, C., and M. Kremer 2018. “Beyond Spreads: Measuring Sovereign Market Stress in the Euro Area.” ECB Working Paper Series No. 2185, October 2018.
  • Hardy, D., and C. Pazarbaşioğlu. 1999. “Determinants and Leading Indicators of Banking Crises: Further Evidence.” IMF Econ Rev 46: 247–258.
  • Hausman, J. A., and D. McFadden. 1984. “Specification Tests for the Multinomial Logit Model.” Econometrica 52: 1219–1240. doi:10.2307/1910997.
  • Laeven, L., and F. Valencia. 2018. “Systemic Banking Crises Revisited.” IMF Working Paper 18: 206. doi:10.5089/9781484376379.001.
  • Laina, P., J. Nyholm, and P. Sarlin, 2015. “Leading Indicators of Systemic Banking Crises: Finland in a Panel of EU Countries.” ECB Working Paper Series No. 1758/February 2015.
  • Long, J. S., and J. Freese. 2014. Regression Models for Categorical Dependent Variables Using Stata. 3rd edition ed. College Station, TX: US: Stata Press.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.