全球智库信息集成服务系统(G2TT): DP9392 What causes banking crises? An empirical investigation for the world economy

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP9392
	DP9392 What causes banking crises? An empirical investigation for the world economy
	Patrick Minford; David Meenagh; Vo Phuong Mai Le; Zhirong Ou
发表日期	2013-03-17
出版年	2013
语种	英语
摘要	We add the Bernanke-Gertler-Gilchrist model to a world model consisting of the US, the Euro-zone and the Rest of the World in order to explore the causes of the banking crisis. We test the model against linear-detrended data and reestimate it by indirect inference; the resulting model passes the Wald test only on outputs in the two countries. We then extract the model?s implied residuals on unfi?ltered data to replicate how the model predicts the crisis. Banking shocks worsen the crisis but ?traditional? shocks explain the bulk of the crisis; the non-stationarity of the productivity shocks plays a key role. Crises occur when there is a ?run? of bad shocks; based on this sample Great Recessions occur on average once every quarter century. 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 Dsge indirect inference
URL	https://cepr.org/publications/dp9392
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/538228
推荐引用方式 GB/T 7714	Patrick Minford,David Meenagh,Vo Phuong Mai Le,et al. DP9392 What causes banking crises? An empirical investigation for the world economy. 2013.