| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9057 |
| DP9057 What causes banking crises? An empirical investigation | |
| Patrick Minford; David Meenagh; Vo Phuong Mai Le | |
| 发表日期 | 2012-07-15 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | We add the Bernanke-Gertler-Gilchrist model to a modified version of the Smets-Wouters model of the US in order to explore the causes of the banking crisis. We test the model against the data on HP-detrended data and reestimate it by indirect inference; the resulting model passes the Wald test on output, inflation and interest rates. We then extract the model's implied residuals on US unfiltered data since 1984 to replicate how the model predicts the crisis. The main banking shock tracks the unfolding `sub-prime' shock, which appears to have been authored mainly by US government intervention. This shock worsens the banking crisis but `traditional' shocks explain the bulk of the crisis; the non-stationarity of the productivity shock plays a key role. Crises occur when there is a `run' of bad shocks; based on this sample they occur on average once every 40 years and when they occur around half are accompanied by financial crisis. Financial shocks on their own, even when extreme, do not cause crises --- provided the government acts swiftly to counteract such a shock as happened in this sample. |
| 主题 | International Macroeconomics |
| 关键词 | Banking Bootstrap Crisis Dsge |
| URL | https://cepr.org/publications/dp9057 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537891 |
| 推荐引用方式 GB/T 7714 | Patrick Minford,David Meenagh,Vo Phuong Mai Le. DP9057 What causes banking crises? An empirical investigation. 2012. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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