English, Article, Journal or magazine article edition: Explaining and Predicting Bank Failure in Argentina Using Duration Models Marcelo Dabós; Walter Sosa Escudero

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Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Explaining and Predicting Bank Failure in Argentina Using Duration Models
Author
  • Marcelo Dabós
  • Walter Sosa Escudero
Physical Description
  • preprint
Notes
  • This paper studies the role played by several financial and economic indicators in determining the process of bank failure in Argentina after the Mexican crisis known as the “tequila effect”. Due to the relative scarcity of previous studies, this paper priorizes the use of semiparametric and non-parametric methods which allow us to measure the effect of explanatory variables in the process of bank failure together with duration dependence effects. The dynamic of bank failures can be fairly characterized by observable factors, which discards the possibility that it had been governed by contagion processes solely. The non-monotonocity of the implicit hazard rate suggests that there were contagion effects, and that they had a strong influence in the first 200 days of the crisis.
  • bank failure, Argentina, duration models
  • RePEc:sad:wpaper:26
Language
  • English
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