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Byline: Andrew K. Rose (a), Mark M. Spiegel (b)
Empirical; Data; Cross-section; Crisis; Credit; Stock; Country;
Model; International; MIMIC model; Early warning models
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.
(a) Haas School of Business, University of California, Berkeley, CA
(b) FRB San Francisco, 101 Market St., San Francisco, CA 94105, USA
Received 1 July 2011; Revised 5 October 2011; Accepted 1 November
(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 http://faculty.haas.berkeley.edu/arose. 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 .