Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154199
Authors: 
Schudel, Willem
Year of Publication: 
2015
Series/Report no.: 
ECB Working Paper 1766
Abstract: 
This paper assesses the trends of some main macroeconomic and macro-financial variables across different time horizons related to systemic banking crises. Specifically, by gradually shifting the observation horizon of the same statistical model across time, it observes how these variables are associated with banking crises in the past, present and future. The associations vary considerably when shifting horizons. Domestic house price growth increases the probability of observing a crisis in the future, but its effect disappears when moving closer to a crisis. The inverse holds true for the effect of the global credit gap, while global credit growth consistently and significantly increases the probability of a future banking crisis. Also, banking crises seem to be spatially correlated in the very short run. In all, the results can help policy makers by shedding light on the temporal horizon of the variables they monitor in addition to evaluating their predictive power.
Subjects: 
banking crisis
binary time series cross section data
credit
time horizons
JEL: 
C23
C51
E43
E51
G01
ISBN: 
978-92-899-1579-3
Document Type: 
Working Paper

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