根据信贷、房地产和资本繁荣预测银行业危机

IF 1.3 4区经济学 Q3 BUSINESS, FINANCE

International Finance Pub Date : 2020-01-13 DOI:10.1111/infi.12367

Chung-Hua Shen, Yen-Hsien Lee, Hao Fang

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引用次数: 2

摘要

本研究探讨了信贷、住房和国际资本流动的过度增长，即信贷、住房和资本繁荣，如何作为即将到来的银行危机的预警信号(EWS)。我们研究了56个样本国家，其中包括32个发达国家和24个新兴国家。我们有两个新的结果。第一种观点支持“繁荣越多，预警信号越强”的观点，即预测危机的爆发和持续。对信贷、房地产和外资繁荣的共同考虑，可能是系统性银行危机的一个重要预警。其次，三次繁荣的前置时间不同。资本繁荣发生在危机前1年，但信贷和房地产繁荣发生在危机前2年。

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Predicting banking crises based on credit, housing and capital booms

This study examines how excessive growth in credit, housing and international capital flows, referred to as credit, housing and capital booms, can serve as an early warning signal (EWS) for an impending banking crisis. We examine 56 sample countries that comprise 32 advanced countries and 24 emerging countries. We have two novel results. The first supports the “more booms, stronger warning signal” argument for predicting the onset and persistence of a crisis. The joint consideration of credit, housing and foreign capital booms can be an important EWS for a systemic banking crisis. Second, the lead times for the three booms are different. Capital booms occur 1 year ahead of a crisis, but credit and housing booms occur 2 years ahead.

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来源期刊

International Finance Multiple-

CiteScore

2.50

自引率

8.30%

发文量

期刊介绍： International Finance is a highly selective ISI-accredited journal featuring literate and policy-relevant analysis in macroeconomics and finance. Specific areas of focus include: · Exchange rates · Monetary policy · Political economy · Financial markets · Corporate finance The journal''s readership extends well beyond academia into national treasuries and corporate treasuries, central banks and investment banks, and major international organizations. International Finance publishes lucid, policy-relevant writing in macroeconomics and finance backed by rigorous theory and empirical analysis. In addition to the core double-refereed articles, the journal publishes non-refereed themed book reviews by invited authors and commentary pieces by major policy figures. The editor delivers the vast majority of first-round decisions within three months.