The internationalisation of financial crises: banking and currency crises 1883-2008

Mardi Dungey, J.P.A.M. Jacobs, L. Lestano

Research output: Working paperAcademic

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Abstract

Financial crises are high cost events which can transmit across international borders. Using data from 1883 to 2008 this paper develops a means of mapping changes in the degree of international synchronisation of banking and currency crises through a formal concordance index. This index speci cally accounts for the typically low incidence and potential serial correlation of crisis data. The results show that banking crises were highly internationalised at the beginning of the 20th century, and became far less so in the strong regulatory environment prevailing after the Depression until the 1980s. A strong increase in the synchronicity of international banking crises is revealed during the late 20th and early 21st century. Currency crises began the century as more idioysncratic, but have tended to become more synchronised over the 115 year sample.
Original languageEnglish
Place of PublicationGroningen
PublisherUniversity of Groningen, SOM research school
Number of pages41
Volume10002
Publication statusPublished - 2010

Publication series

NameSOM Research Reports
PublisherUniversity of Groningen, SOM Research School
Volume10002

Keywords

  • concordance indices
  • synchronisation
  • banking crisis
  • currency crisis
  • financial crises

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