亚洲银行危机的决定因素——面板阈值logit模型的应用

IF 1.8 4区经济学 Q2 BUSINESS, FINANCE

International Review of Finance Pub Date : 2021-06-08 DOI:10.1111/irfi.12354

Chung-Hua Shen, Hsing-Hua Hsu

{"title":"亚洲银行危机的决定因素——面板阈值logit模型的应用","authors":"Chung-Hua Shen, Hsing-Hua Hsu","doi":"10.1111/irfi.12354","DOIUrl":null,"url":null,"abstract":"<p>Considering binary dependent variable, this study extends the panel threshold model into “panel threshold logit model (PTLM).” Our PTLM is applied on investigating the effect of early warning indicators on banking crises in 10 Asian economies. The ratio of short-term debt to foreign reserves serves as the threshold variable. Results confirm the existence of the threshold effect in the determinants of banking crises, and most of the early warning indicators perform differently in the two debt regimes. Our empirical results suggest that important information may be missed in analyzing crises when conventional logit model is used.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"22 1","pages":"248-277"},"PeriodicalIF":1.8000,"publicationDate":"2021-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/irfi.12354","citationCount":"0","resultStr":"{\"title\":\"The determinants of Asian banking crises—Application of the panel threshold logit model\",\"authors\":\"Chung-Hua Shen, Hsing-Hua Hsu\",\"doi\":\"10.1111/irfi.12354\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>Considering binary dependent variable, this study extends the panel threshold model into “panel threshold logit model (PTLM).” Our PTLM is applied on investigating the effect of early warning indicators on banking crises in 10 Asian economies. The ratio of short-term debt to foreign reserves serves as the threshold variable. Results confirm the existence of the threshold effect in the determinants of banking crises, and most of the early warning indicators perform differently in the two debt regimes. Our empirical results suggest that important information may be missed in analyzing crises when conventional logit model is used.</p>\",\"PeriodicalId\":46664,\"journal\":{\"name\":\"International Review of Finance\",\"volume\":\"22 1\",\"pages\":\"248-277\"},\"PeriodicalIF\":1.8000,\"publicationDate\":\"2021-06-08\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.1111/irfi.12354\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Review of Finance\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://onlinelibrary.wiley.com/doi/10.1111/irfi.12354\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Review of Finance","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/irfi.12354","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

考虑二元因变量，本研究将面板阈值模型扩展为“面板阈值logit模型(PTLM)”。我们的PTLM应用于研究10个亚洲经济体的银行危机预警指标的影响。短期债务与外汇储备的比率作为阈值变量。结果证实了门槛效应在银行危机决定因素中的存在，并且大多数预警指标在两种债务制度中的表现不同。我们的实证结果表明，当使用传统的logit模型分析危机时，可能会遗漏重要的信息。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

The determinants of Asian banking crises—Application of the panel threshold logit model

Considering binary dependent variable, this study extends the panel threshold model into “panel threshold logit model (PTLM).” Our PTLM is applied on investigating the effect of early warning indicators on banking crises in 10 Asian economies. The ratio of short-term debt to foreign reserves serves as the threshold variable. Results confirm the existence of the threshold effect in the determinants of banking crises, and most of the early warning indicators perform differently in the two debt regimes. Our empirical results suggest that important information may be missed in analyzing crises when conventional logit model is used.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

International Review of Finance BUSINESS, FINANCE-

CiteScore

3.30

自引率

5.90%

发文量

期刊介绍： The International Review of Finance (IRF) publishes high-quality research on all aspects of financial economics, including traditional areas such as asset pricing, corporate finance, market microstructure, financial intermediation and regulation, financial econometrics, financial engineering and risk management, as well as new areas such as markets and institutions of emerging market economies, especially those in the Asia-Pacific region. In addition, the Letters Section in IRF is a premium outlet of letter-length research in all fields of finance. The length of the articles in the Letters Section is limited to a maximum of eight journal pages.