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Financial crises: explanation, prediction, and interdependence

Author

Listed:
  • Mekki Hamdaoui

    (University of Tunis El Manar - University Campus Farhat Hached Tunis B.P. n° 94 - ROMMANA)

  • SaifEddine Ayouni

    (University of Sousse, Rue Khalifa El Karoui Sahloul)

  • Samir Maktouf

    (University of Tunis El Manar - University Campus Farhat Hached Tunis B.P. n° 94 - ROMMANA)

Abstract

This study examines the relationship between different types of financial crises using various metrics. Various estimation techniques are used, including multinomial and conditional logit procedures, dynamic panel estimation, and Bayesian model averaging (BMA). The data consist of a sample of 49 countries over the period 1984–2016. We found that the banking sector reacts significantly to a shock that affects the national currency in developed countries. In addition, the national currency and the sovereign debt are negatively and significantly affected by the banking crisis, but are not statistically linked. In emerging countries, banking crises precede currency crises. Thus, there is a two-way relationship between currency and debt crises. In addition, ARDL results suggest a long-term significant relationship between different types of financial crises with a weak short-term binding in advanced countries.

Suggested Citation

  • Mekki Hamdaoui & SaifEddine Ayouni & Samir Maktouf, 2022. "Financial crises: explanation, prediction, and interdependence," SN Business & Economics, Springer, vol. 2(8), pages 1-52, August.
    • Handle: RePEc:spr:snbeco:v:2:y:2022:i:8:d:10.1007_s43546-022-00241-2
    DOI: 10.1007/s43546-022-00241-2
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