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The internationalisation of financial crises

Author

Listed:
  • Dungey, M.
  • Jacobs, J.P.A.M.
  • Lestano, L.

    (Groningen University)

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.

Suggested Citation

  • Dungey, M. & Jacobs, J.P.A.M. & Lestano, L., 2010. "The internationalisation of financial crises," Research Report 10002, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    • Handle: RePEc:gro:rugsom:10002
    as

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    File URL: http://hdl.handle.net/11370/882066b9-cf68-42b0-8ea8-0b93b4c87a52
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    References listed on IDEAS

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