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A new comprehensive database of financial crises: Identification, frequency, and duration

journal contribution
posted on 14.01.2022, 10:07 by Thanh Cong Nguyen, Vitor CastroVitor Castro, Justine WoodJustine Wood
This paper introduces a new database of financial crises, providing an important insight into the causes, duration, and consequences of different types of financial crises. Besides extending the systemic banking crises database by Laeven and Valencia (2020) to the period 1970–2019, we develop new approaches for the identification of currency and sovereign debt crises, which we regard as preferable in some respects to those in the literature. Covering 206 countries, our crises database draws on 151 systemic banking crises (1970–2019), 414 currency crises (1950–2019), 200 sovereign debt crises (1960–2019), 75 twin crises (1970–2019), and 21 triple crises (1970–2019). We provide evidence that banking and debt crises tend to coincide or precede currency crises, while debt crises and banking crises are less likely to coincide with or precede each other. We also find that advanced countries experienced longer banking crises but shorter currency, debt, twin, and triple crises.

History

School

  • Business and Economics

Department

  • Economics

Published in

Economic Modelling

Publisher

Elsevier

Version

AM (Accepted Manuscript)

Rights holder

© Elsevier

Publisher statement

This paper was accepted for publication in the journal Economic Modelling and the definitive published version is available at https://doi.org/10.1016/j.econmod.2022.105770.

Acceptance date

11/01/2022

Publication date

2022-01-13

Copyright date

2022

ISSN

0264-9993

Language

en

Depositor

Dr Vitor Castro. Deposit date: 13 January 2022

Article number

105770