{"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":null,"pages":null},"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}
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Abstract
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.
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.
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