Stability periods between financial crises: The role of macroeconomic fundamentals and crises management policies

Zorobabel Bicaba (), Daniel Kapp and Francesco Molteni ()

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: The aim of this paper is to identify which factors explain why some countries are more prone to enjoy long durations of stability, while others experience crises in shorter intervals. To this end, we analyze the duration of stability periods between currency, debt, and banking crises from 1980 to 2008. We find that durations of tranquility between currency and debt crises are bimodally distributed, making conventional econometric models unsuitable. Therefore, we introduce an innovative econometric strategy, the Finite Mixture Model. Real and financial variables are found to have high predictive power for the spell of stability between currency crises, while for debt crises, the real interest rate is observed to be the best predictor. The time between the occurrence of systemic financial crises is prolonged through large-scale government interventions and IMF aid programs, while recapitalization turns out to have a negative impact.

Keywords: Crise financière; bimodalité; durée.; Financial crises; Finite mixture model; duration; bimodality. (search for similar items in EconPapers)
Date: 2011-10
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00639869v1
References: Add references at CitEc
Citations: View citations in EconPapers (8)

Published in 2011

Downloads: (external link)
https://shs.hal.science/halshs-00639869v1/document (application/pdf)

Related works:
Journal Article: Stability periods between financial crises: The role of macroeconomic fundamentals and crises management policies (2014)
Working Paper: Stability periods between financial crises: The role of macroeconomic fundamentals and crises management policies (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:halshs-00639869

Access Statistics for this paper

More papers in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL
Bibliographic data for series maintained by CCSD ().