Cross-Country Causes and Consequences of the 2008 Crisis: Early Warning Rose, Andrew K; Spiegel, Mark

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Rose, Andrew K ; Spiegel, Mark
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Japan & The World Economy
Federal reserve banks; Federal Reserve banks -- Analysis; Economics
To link to full-text access for this article, visit this link: Byline: Andrew K. Rose (a), Mark M. Spiegel (b) Keywords: Empirical; Data; Cross-section; Crisis; Credit; Stock; Country; Model; International; MIMIC model; Early warning models Abstract: a* Explore causes and outcomes of 2008 crisis with Multiple Indicator Multiple Cause model. a* Includes over sixty potential causes of the crisis in 107 country sample. a* Unable to link most of the commonly cited causes of the crisis to its incidence across countries. a* Raises doubt about potential accuracy of "early warning" systems for financial crises. a* Early warning models must also predict timing of crises, which is even more difficult. Author Affiliation: (a) Haas School of Business, University of California, Berkeley, CA 94720-1900, USA (b) FRB San Francisco, 101 Market St., San Francisco, CA 94105, USA Article History: Received 1 July 2011; Revised 5 October 2011; Accepted 1 November 2011 Article Note: (footnote) [star] We thank Haibin Zhu for sharing his real estate data. Helpful comments were received from: an anonymous referee, Joshua Aizenman, David Cook, Mike Dooley, Marcel Fratzscher, Sophia Rabe-Hesketh, Kadee Russ, and seminar participants at the BIS and the APEA. Rose thanks the Federal Reserve Bank of San Francisco for hospitality during the course of this research. Christopher Candelaria provided excellent research assistance. The views expressed below do not represent those of the Federal Reserve Bank of San Francisco or the Board of Governors of the Federal Reserve System. A current version of this paper, key output, and the main STATA data set used in the paper are available at This paper began to circulate in June 2009, on the basis of data collected mostly by March 2009. It was subsequently criticized explicitly or implicitly by a number of authors, including among others: , , , and . Our response, using an updated data set, is provided in .
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