Professional Documents
Culture Documents
**
25 1970 1 2000 12
IMF
Panel Logit
Logit
Abstract
The propose of this paper is that we integrate the signal extraction
approach and panel logit model of quantitative analysis to see whether
the forecasting ability can be improved. We use four steps for our
empirical study to find a composition probability indicator. In the first
step, we find five categories of indicators according to the suggestion
of related literature. In the second step, we use signal extraction
approach to obtain some good indicators, and introduce financial
liberalization dummy variable, which is good to explain banking crises
in most empirical literature. In the third step, we use these good
indicators from third step to calculate the probabilities of the currency
of banking crises monthly by panel logit model. Finally, in the last step,
we calculate the optimal threshold of the composition probability of the
happing of banking crises.
Keywords: Banking Crisis, Leading Indicators, Composite Indicators,
Signal Extraction Approach, Logit Model.
**
2003
1980
1990
ERM
1997 7
Demirg-Kunt and
Detragiache1997, 1998
1
10
2 GDP 2
3
nationalistation4
Kaminsky and Reinhart (1996, 1999)
1
2
1
2
noise-to-signal ratio
1 noise-to-signal ratio
2
noise-to-signal ratio 1 1
noise-to-signal ratio
IMF
2003
noise-to-signal ratio
1
IMF IFS
AREMOS IMF IFS World Bank WDI
Datastream
2 noise-to-signal ratio
3 Panel Logit
4
1990
Bell and Pain (2000)
1
2
individual bank failure
banking system failure
co-ordination failure
1990
financial distress
bank panic
spillover effects
systemic banking crisis
early
warning signal model1the signal
extraction approach
X j X j
2
2003
noise-to-signal ratio1
noise-to-signal ratio1 2the
qualitative response model
binomial
10
logistic
Probit Logit
1970
Gonzlez-Hermosillo1999
bank-specific indicates
Gonzlez-Hermosillo1999
1property-related
2
34
1970 1 2000 12 25
Glick and Hutchison1999
4 IFSAREMOS
WDI Datastream 21
21
2 6 A M1
M2 M2/B
C/
/GDP /GDPD
EEMP
5
8
17
5
Dummy variables
2003
M1
Kaminsky and Reinhart(1996, 1999)
(a)crisis CMAX t
(b)crash CMAX t
(c)the trough CMAX t
(d)the recovery CMAX t
CMAX k CMAX k =1.5 2 Anne Vila
(2000)ad
X X t X X
t X S t = 1
X X t X
S t = 0
1 , if
St =
0 , if
Xt
>
Xt
22
24
24
A 24 B
24 C
24 D 24
2003
H 0 H 1
H 0 A+C H 1 B+D H 0
H 0 C / (A+C) H 1
H 0 B / (B+D)noise-to-signal ratio
1 [B/(B+D)]/[1-(C/(A+C))]
[B/(B+D)]/[A/(A+C)]
80 90
grid search noise-to-signal ratio
noise-to-signal ratio
Panel Logit
1Logit
Qualitative and
limited dependent variable models Logit
y it binary choice
variable
1, ti
y it =
0 , ti
Pit y it 1 0
Pit = P ( y it =1) 1 Pit = P ( y it =0) y
E ( y it ) = 1 ( Pit ) + 0 (1 Pit ) = Pit n
Pit = P [ y it =1] = E ( y it X it ) = F ( X it' )
1 , if
y it =
0 , if
y it* > 0
y it* 0
n it Logit
log-likelihood function
{P ln [F (X )] + (1 P )ln [1 F (X )]}
T
ln L =
t =1 i =1
it
'
it
'
it
it
T N
2fixed effect Panel Logit
Panel Logit (country characteristics)
Logit y *it = i + X it' + it i i = 1 N
i t
(constant)
i i
y *it = i + X it' + it 7
y * = [d 1
d2
X ] +
. . . dN
d i i (dummy variable)
D = [d1
d2
. . . d N ]NT N y * = D + X +
e i + X it
'
'
it
11
'
it
1 + e i + X it
'
2003
4.1 8
k = 1.5 k = 1.5
4.1
1970 1 2000 12
Barth, Caprio and Levine (2000)Demirg-Kunt and Detragiache(1997)Glick and Hutchison (1999)
Doma and Martinez Peria(2000) Anne Vila (2000).
12
KLR
12 24
12 24
17 grid search
noise-to-signal ratio1 17
12
24 9 12 24
noise-to-signal ratio 4.2 12 24
noise-to-signal ratio KR(1996,
1999) 24
4.3 4.5
(1) 80 90
noise-to-signal ratio
(2) (5) ABCDA 24 B
noiseC
D
(6)
A/(A+C)
23.09%
5.16%
21.08%6.65%
21.64%
6.04%
9
13
2003
(7)
B/(B+D)
7.08%
25.08%
5.37%22.17%
5.21%
22.3%
(8)
noise-to-signal ratio [B/(B+D)]/[A/(A+C)]
(B/(B+D))(A/(A+C)) 1
KLR(1998)
noise-to-signal ratio 1
noise-to-signal ratio1
24
/GDP /GDP
M1
10
(9)P(crisis/signal)
A/(A+B) noise-to-signal ratio P(crisis/signal)
(10)P(crisis/signal)-P(crisis)
[A/(A+B)]-[(A+C)/(A+B+C+D)]
10
17
14
noise-to-signal ratio1
P(crisis/signal) P(crisis/signal)-P(crisis)
A
4.3
noise-to-signal ratio M1 M2
M2/
/
B
4.4
noise-to-signal ratio M2/
M2
//GDP /GDP
C
4.5
noise-to-signal ratio M2/M2
M1
//GDP /GDP
KLR IMF
11 noise-to-signal ratio1
12
11
EMP
noise-to-signal ratio 0.772 noise-to-signal ratio 0.9307
12
KLR noise-to-signal ratio1 Kaminsky (1999)
15
2003
A.
B.
C.
M1
M2/
M2/
noise-to-signal ratio 1/
2 M1
noise-to-signal ratio 0.3369
noise-to-signal
ratio 1.2243 0.97513M2/
0.7441 0.7738
0.816
noise-to-signal ratio1
noise-to-signal ratio1 noise-to- signal ratio
13
KR (1999) Kaminsky (1999)/GDP
16
/GDP
KR(1999) Kaminsky(1999)
/
KR(1999) Kaminsky(1999)
/
1 IMF IFS
2
3
Panel Logit
t-1
14
4.7 4.9 1
(1)
14
Glick and Hutchison (1999), Hutchison and McDill (1999), Demirg-Kunt and Detragiache (1997)
t-1
17
2003
(2) M2/
1%
(3)
(1)
M1
M1
M1
(2)
18
(3) /
(4)
robust
noise-to-signal ratio1
(1) 4.7
1 10
(2) 4.8 1 12
M2/
(3) 4.9
19
2003
1 12
4.10
15
15
20
(1)
(2)
KLR
noise-to-signal
ratio 1 1
Panel Logit
4.7 4.9 1
Panel Logit
21
2003
4.11
noise-to-signal ratio
4.12 4.12
0.2104
0.7313
0.1507 0.8631
1 0
2000 12 2001 12
(A)
X 1 X 2 M2/ X 3
X 4 X 5 / X 6
X 7 16
16
t-1
22
2001 1 2001 12
12
40%
()
2001 1
0.3642
0.2647
2001 2
0.2571
0.2647
2001 3
0.3427
0.2647
1*
2001 4
0.3636
0.2647
1*
2001 5
0.3838
0.2647
1*
2001 6
0.3696
0.2647
1*
2001 7
0.3835
0.2647
1*
2001 8
0.4251
0.2647
2001 9
0.4971
0.2647
2001 10
0.5139
0.2647
2001 11
0.5491
0.2647
2001 12
0.5684
0.2647
1 0
*
2001
90
1 1998 4.362001
9 7.79
2001 2001
23
2003
2001
10
60%
25
1970 1 2000 12
21
CMAX
IMF
Panel Logit
noise-to-signal ratio
24
127 40
IMF
1.2000
2.Barth, James R.; Gerard Caprio, Jr. and Ross Levine (2000), Banking
Systems Around the Globe: Do Regulation and Ownership Affect
Performance and Stability? World Bank Working Paper, No. 2325.
3.Bell, James and Darren Pain (2000), Leading Indicator Models of
Banking Crises-A Critical Review. Financial Stability Review, issue
9, The Bank of England, December 2000.
4.Demirg-Kunt, Asli and Enrica Detragiache (1997), The Determinants
of Banking Crises: Evidence from Developing and Developed Countries.
IMF Working Paper, No. 106, September 1997.
5.Demirg-Kunt, Asli and Enrica Detragiache (1998), Financial
Liberalization and Financial Fragility. IMF working Paper, No. 83,
June 1998.
6.Demirg-Kunt, Asli and Tolga Sobaci (2000), Deposit Insurance Around
the World : A Data Base. The World Bank, May 2000.
7.Doma, Ilker and Maria Soledad Martinea Peria (2000), Banking Crises
25
2003
and Exchange Rate Regimes: Is There a Link? World Bank Working Paper,
No.2489.
8.Eichengreen, Barry and Carlos Artea (2000), Banking Crises in
Emerging Markets: Presumptions and Evidence. CIDER Working Paper,
No.115, August 2000.
9.Glick, Reuven and Michael Hutchison (1999), Banking and Currency
Crises: How Common Are Twins? Pacific Basin Working Paper, No.
PB99-07.
10.Gonzlez-Hermosillo, Brenda (1999), Developing Indicators to
Provide Early Warnings of Banking Crises. Finance & Development (IMF),
Vol. 36, No. 2, June 1999, pp.36-39.
11.Greene, William H. (2000), Econometric Analysis. Fourth edition,
Prentice-Hall International, Upper Saddle River, NJ. pp.557-567.
12.Hardy, Daniel C. and Ceyla Palzaebasioglu (1998), Leading Indicators
of Banking Crises: Was Asia Different? IMF working Paper, No. 91, June
1998.
13.Hutchison, Michael and Kathleen McDill (1999), Are All Banking
Crises Alike? The Japan Experience in International Comparison. NBER
Working Paper, No. 7253, July 1999.
14.International Monetary Fund, World Economic Outlook, May 1998,
pp.74-97.
15.Kaminsky, Graciela L. (1999), Currency and Banking Crises: The Early
Warnings of Distress. IMF Working Paper, No.178, December 1999.
16.Kaminsky, Greaciela L. and Carmen M, Reinhart (1999), The Twin Crises:
The Causes of Banking and Balance-of-Payments Problems. The American
Economic Review, Vol. 89, No. 3, June 1999, pp.473-500. Earlier version
26
27
2003
4.1
No.
(k=1.5)
Demirg-Kunt
and Detragiache
(1997)
Glick and
Hutchison (1999)
Doma and
Martinez Peria
(2000)
Anne Vila
(2000)
1970/1-2000/12
1970
~1999
1980-1994
1975-1997
1980-1997
1970/1-1999/7
1973/7-1979/3
1989/8-1993/1
1993/6-1994/9
2000/6-2000/12
1982/10-1984/10
1998/7-1999/12
1992/10-1993/5
1994/3-1998/8
1999/5-2000/6
1989-1992
1973/7-1979/4
1989/8-1993/2
1993/3-1994/12
1983-1985
1983-1985
1983-1985
1987-1992
1987-1992
1987-1992
1981/11-1982/8
1983/8-1989/11
1991/1-1993/7
1994/10-1996/2
1991/3-1994/3
1995/12-1996/5
2000/6-2000/12
1973/7-1976/3
1989/6-1993/10
1998/5-1999/5
1986/10-1987/2
1988/6-1990/8
1991/1-1992/9
1993/6-1995/9
1996/12-1998/11
1999/10-2000/4
1974/10-1975/11
2000/10-2000/12
1982/1-1984/3
2000/3-2000/12
1977/6-1978/12
1982/11-1983/2
1991/5-1991/6
1991/10-1992/2
1999/4-2000/12
1973/1-1973/11
1977/12-1978/12
1973/9-1974/9
1976/8-1976/12
1989/10-1991/1
1996/7-1997/1
1998/1-1999/7
1974/8-1975/5
1979/9-1980/2
1983/8-1985/5
1987/10-1988/10
1994/8-1995/12
1998/7-1999/1
1985-1986
1993
1981/12-1984/12
1997/8-1999/4
-1971/11
1976/3-1979/10
1988/10-1991/5
1991/7-1993/10
1993/12-1998/3
1990s
1992-1994
1992-1997
1992-1997
1987-1990
1987-1990
1990/9-1994/11
1995/1-1996/8
1996/8-1998/2
1987-93
1987-1993
1987-1993
1987-1993
1981-1983
1981-1987
1994
1997-ongoing
1992-1994
1976
1981-1983
1994
1997
1992-1997
1988/9-1989/11
2000/4-2000/12
1986/10-1989/2
1998/11-2000/11
1977/12-1979/6
1985/3-1987/4
1989/4-1990/8
1991/4-1996/6
2000/3-2000/12
1984/8-1987/11
1992/6-1992/7
1977/7-1977/12
1981/12-1983/5
1984/10-1986/1
1993/5-1993/8
1999/12-2000/12
1973/1-1974/1
1974/10-1976/4
1983/4-1983/6
1983/8-1983/11
1985/12-1987/1
1989/3-1990/4
1990/5-1991/3
1996/1-1996/5
2000/3-2000/12
1998/9-2000/12
1979/7-1980/2
1982/8-1983/9
1992/10-1993/2
1996/3-1996/5
1998/11-2000/2
1983/4-1984/12
1986/11-1987/1
1991/9-1993/3
1998/3-1998/6
1983-1984
1970s-1983
1994-1997
1994-1997
1997-ongoing
1997
1997
1985-1988
1997-ongoing
1985-1988
1985-1988
1997
1985-1988
1997
1982
1981-1991
1981-1982
1995-ongoing
1994
1995-1997
1994-1997
1990s
1997
1991-1994
1993-1997
1991-1995
1997
1983-1990
1983-1990
1983-1990
1981-1987
1998-ongoing
1981-1987
1981-1987
1981-1987
1997
1982
1989-1993
1989-1993
1989-1993
1989-1993
1983-1987
1997-ongoing
Late 1970s and 1980s
1994-ongoing
1983-1987
1997
1978-1986
1994-1997
1983-1987
1997
1994-1997
1995-ongoing
1995-1997
1993-1994
28
4.2
0.4482
0.4958
0.5198
0.7150
1.1406
1.5168
0.3369
0.4674
0.6920
0.8160
0.8382
0.9528
0.9721
0.6199
0.9610
0.7452
1.0587
0.8192
1.2243
0.5467
0.8877
0.7441
1.0263
0.8068
0.7888
0.5702
0.7877
0.7429
1.1635
1.0410
0.9751
0.5231
0.8262
0.7738
1.0359
0.8630
0.5767
0.8066
1.2285
1.2133
1.2291
1.2239
0.6373
0.7970
1.2996
1.2982
1.1529
1.1929
0.6793
0.7685
1.3112
0.6969
0.8456
1.0337
0.6486
0.7941
1.3401
0.9401
1.0267
0.8059
0.6442
0.7989
1.2735
0.9401
1.0123
1.1160
0.6523
0.8002
1.3259
1.0655
1.0774
0.9250
0.5105
0.3893
1.0052
1.0056
0.4446
0.4151
1.0340
1.1834
0.6374
0.4246
0.7049
0.7426
0.6867
0.5761
0.7568
0.8565
0.5998
0.4177
0.8535
0.8589
0.6149
0.5210
0.8790
0.9847
-------
-------
-------
-------
-------
-------
0.9285
---
0.9307
---
0.7701
---
0.7720
---
0.8359
---
0.8352
---
29
2003
4.3
=24
A
A1.M1
A2.
A3.M2
A4.M2/
A5.
A6.
B
B1.
B2.
B3.
B4.
B5.
B6.
C
C1./
C2.
C3./GDP
C4./GDP
D
D1.
D2.
D3.
E
E1.
E2.
(2)
(3)
(4)
Bad signals as
Good signals as
percentage of Noise-to-signal ratio P(crisis/signal) P(crisis/signal)
(5) percentage of possible
possible
(8)
(9) -P(crisis) (10)
good signals (6)
bad signals (7)
A/(A+C)
B/(B+D)
[B/(B+D)]/
[A/(A+C)]
A/(A+B)
A/(A+B)-(A+C)/
(A+B+C+D)
(1)
0.900
0.900
0.899
0.848
0.900
0.898
96
125
7
185
126
50
52
94
126
231
163
72
824
650
860
794
853
920
1427
1153
1372
1267
1348
1394
0.1044
0.1613
0.1216
0.1890
0.1287
0.0516
0.0352
0.0754
0.0841
0.1542
0.1079
0.0491
0.3369
0.4674
0.6920
0.8160
0.8382
0.9528
0.6487
0.5708
0.4857
0.4447
0.4360
0.4098
0.2652
0.1875
0.0905
0.0495
0.0428
0.0116
0.862
0.800
0.803
0.800
0.802
0.887
183
226
172
158
213
107
180
278
345
310
379
197
796
753
807
812
766
872
1331
1233
1166
1156
1132
1314
0.1869
0.2309
0.1757
0.1629
0.2176
0.1093
0.1191
0.1840
0.2283
0.2115
0.2508
0.1304
0.6373
0.7970
1.2996
1.2982
1.1529
1.1929
0.5041
0.4484
0.3327
0.3376
0.3598
0.3520
0.1110
0.0552
-0.0605
-0.0606
-0.0334
-0.0412
0.845
0.899
0.831
0.800
159
167
147
164
93
107
259
312
665
812
721
756
991
1404
1220
1167
0.1930
0.1706
0.1694
0.1783
0.0858
0.0708
0.1751
0.2110
0.4446
0.4151
1.0340
1.1834
0.6310
0.6095
0.3621
0.3445
0.1991
0.2163
-0.0078
-0.0390
-------
-------
-------
-------
-------
-------
-------
-------
-------
-------
0.887
---
126
---
181
---
853
---
1330
---
0.1287
---
0.1198
---
0.9307
---
0.4104
---
0.0173
---
30
4.4
=24
A
A1.M1
A2.
A3.M2
A4.M2/
A5.
A6.
B
B1.
B2.
B3.
B4.
B5.
B6.
C
C1./
C2.
C3./GDP
C4./GDP
D
D1.
D2.
D3.
E
E1.
E2.
(2)
(3)
(4)
(5)
Good signals as
percentage of
possible
good signals (6)
A/(A+C)
B/(B+D)
[B/(B+D)]/
[A/(A+C)]
A/(A+B)
A/(A+B)-(A+C)/
(A+B+C+D)
(1)
Bad signals as
percentage of Noise-to-signal ratio P(crisis/signal) P(crisis/signal)
possible
(8)
(9) -P(crisis) (10)
bad signals (7)
0.806
0.896
0.895
0.900
0.803
0.900
248
175
198
203
348
92
642
188
353
299
718
147
1290
945
1458
1453
1303
1291
2610
2013
2973
2979
2601
2592
0.1613
0.1563
0.1196
0.1226
0.2108
0.0665
0.1974
0.0854
0.1061
0.0912
0.2163
0.0537
1.2243
0.5467
0.8877
0.7441
1.0263
0.8068
0.2787
0.4821
0.3594
0.4044
0.3265
0.3849
-0.0424
0.1449
0.0270
0.0688
-0.0057
0.0494
0.897
0.897
0.808
0.809
0.883
0.900
243
197
265
217
203
215
312
324
718
404
419
348
1413
1393
1337
1166
1448
1441
2966
2969
2521
2335
2900
2978
0.1467
0.1239
0.1654
0.1569
0.1230
0.1298
0.0952
0.0984
0.2217
0.1475
0.1262
0.1046
0.6486
0.7941
1.3401
0.9401
1.0267
0.8059
0.4378
0.3781
0.2696
0.3494
0.3264
0.3819
0.1022
0.0525
-0.0613
0.0139
-0.0058
0.0495
0.827
0.881
0.898
0.895
238
291
194
164
306
337
299
297
938
1360
1344
1374
1896
2982
2833
2955
0.2024
0.1763
0.1261
0.1066
0.1390
0.1015
0.0955
0.0913
0.6867
0.5761
0.7568
0.8565
0.4375
0.4634
0.3935
0.3558
0.0894
0.1312
0.0642
0.0347
-------
-------
-------
-------
-------
-------
-------
-------
-------
-------
0.858 303
--- ---
463
---
1353 2815
--- ---
0.1830
---
0.1412
---
0.7720
---
0.3956
---
0.0599
---
31
2003
4.5
=24
A
A1.M1
A2.
A3.M2
A4.M2/
A5.
A6.
B
B1.
B2.
B3.
B4.
B5.
B6.
C
C1./
C2.
C3./GDP
C4./GDP
D
D1.
D2.
D3.
E
E1.
E2.
(2)
(3)
(4)
Bad signals as
Good signals as
percentage of Noise-to-signal ratio P(crisis/signal) P(crisis/signal)
(5) percentage of possible
possible
(8)
(9) -P(crisis) (10)
good signals (6)
bad signals (7)
A/(A+C)
B/(B+D)
[B/(B+D)]/
[A/(A+C)]
A/(A+B)
A/(A+B)-(A+C)/
(A+B+C+D)
396
276
484
763
546
219
2247
1605
2315
2091
2343
2211
(1)
0.900
0.900
0.895
0.834
0.900
0.900
211
290
320
544
287
142
4335
3172
4340
4013
4284
3986
0.0858
0.1530
0.1214
0.2065
0.1091
0.0604
0.0837
0.0801
0.1003
0.1598
0.1130
0.0521
0.9751
0.5231
0.8262
0.7738
1.0359
0.8630
0.3476
0.5124
0.3980
0.4162
0.3445
0.3934
0.0057
0.1577
0.0448
0.0607
-0.0080
0.0346
0.860
0.816
0.808
0.801
0.883
0.900
0.1943
0.2164
0.1682
0.1641
0.1243
0.1169
0.1268
0.1732
0.2230
0.1748
0.1340
0.1081
0.6523
0.8002
1.3259
1.0655
1.0774
0.9250
0.4576
0.4006
0.2907
0.3443
0.3357
0.3706
0.1026
0.0521
-0.0614
-0.0145
-0.0168
0.0180
0.840
0.899
0.898
0.800
391
417
279
487
395
399
470
923
1609
2213
2127
1971
2891
4431
4141
3808
0.1955
0.1586
0.1160
0.1981
0.1202
0.0826
0.1019
0.1951
0.6149
0.5210
0.8790
0.9847
0.4975
0.5110
0.3725
0.3454
0.1191
0.1585
0.0296
0.0035
-------
-------
-------
-------
-------
-------
-------
-------
-------
-------
0.1583
---
0.1322
---
0.8352
---
0.3971
---
0.0422
---
0.871 417
--- ---
4.6
=24
A
A1.M1
A2.
A3.M2
A4.M2/
A5.
A6.
B
B1.
B2.
B3.
B4.
B5.
B6.
C
C1./
C2.
C3./GDP
C4./GDP
D
D1.
D2.
D3.
E
E1.
E2.
Kaminsky and
Reinhart (1999)
Kaminsky
(1999)
0.3369
0.4674
0.6920
0.8160
0.8382
0.9528
1.2243
0.5467
0.8877
0.7441
1.0263
0.8068
0.9751
0.5231
0.8262
0.7738
1.0359
0.8630
0.82
0.28
0.50
0.71
--0.45
0.80
0.30
0.50
0.70
--0.50
0.6373
0.7970
1.2996
1.2982
1.1529
1.1929
0.6486
0.7941
1.3401
0.9401
1.0267
0.8059
0.6523
0.8002
1.3259
1.0655
1.0774
0.9250
0.71
0.61
1.60
0.52
0.28
---
0.70
0.60
1.60
0.50
0.30
---
0.4446
0.4151
1.0340
1.1834
0.6867
0.5761
0.7568
0.8565
0.6149
0.5210
0.8790
0.9847
1.93
1.03
--0.59
1.90
1.00
--0.60
-------
-------
-------
-------
-------
0.9307
---
0.7720
---
0.8352
---
-----
--1.20
noise-to-signal ratio
33
2003
A
A1.M1
A2.
0.2256
(3.5618)***
-0.4895
(-1.8453)*
0.1883
(2.9062)***
-0.5291
(-1.9748)**
-1.4767
(-2.9277)***
A3.M2
A4.M2/
3
0.1962
(3.0431)***
-0.6496
(-2.3942)***
10
-0.0458
(-0.6116)
-0.6178
(-2.2212)**
-0.0099
(-0.1369)
-0.6537
(-2.3378)***
0.0931
(1.4027)
-0.5093
(-1.9027)*
0.1347
(2.0334)**
-0.5543
(-2.0853)**
0.2258
(3.5630)***
-0.4861
(-1.8325)*
0.2225
(3.5069)***
-0.4978
(-1.8747)*
-0.1659
(-2.1247)**
-0.8090
(-2.8241)***
-0.1482
(-0.2202)
-1.8894
(-3.5500)***
-13.2517
(-3.0389)***
-4.8895
(-2.5760)***
-2.2852
(-4.9181)***
A5.
-26.1430
(-8.9940)***
A6.
B
B1.
B2.
-10.8808
(-8.3957)***
-0.6408
(-3.4240)***
-0.2799
(-0.5637)
-0.6700
(-3.4942)***
-0.3219
(-0.6441)
-2.3844
(-5.2780)***
-0.4151
(-0.8279)
-0.5001
(-2.3654)***
0.4285
(0.7870)
-0.5627
(-2.7034)***
0.0177
(0.0329)
-0.7029
(-3.5478)***
-0.0846
(-0.1687)
-0.6843
(-3.5000)***
0.0271
(0.0537)
-0.6216
(-3.2859)***
-0.2725
(-0.5489)
-0.6537
(-3.4713)***
-0.2891
(-0.5811)
-2.0566
(-3.8978)***
0.3619
(0.6546)
0.1980
(1.8381)*
-12.4084
(-8.7000)***
0.1883
(1.7483)*
-11.9308
(-8.3563)***
0.0862
( 0.7802)
-11.5402
(-7.8420)***
0.0036
( 0.0318)
-15.9076
(-9.4838)***
-0.0367
(-0.3165)
-14.0202
(-8.9276)***
0.2587
(2.4096)**
-12.0160
(-8.1450)***
0.1589
(1.4327)
-11.3436
(-7.6134)***
0.1978
(1.8374)*
-12.4343
(-8.7132)***
0.1965
(1.8239)*
-12.4112
(-8.6957)***
-0.0427
(-0.3638)
-14.0984
(-7.7600)***
0.2977
(1.2556)
29.5768
(106.1382)***
1.2087
(5.8456)***
1.2903
(6.2562)***
28.98525
(70.0444)***
0.1616
(0.6819)
B3.
B4.
B5.
B6.
C
C1./
C2.
C3./GDP
C4./GDP
D
D1.
D2.
1.2888
(6.2484)***
1.2837
(6.2145)***
1.1624
(5.6074)***
0.2825
(1.2276)
D3.
0.6182
(2.6578)***
2.3021
(5.8505)***
E
E1.
(EMP)
1.2893
(6.2499)***
0.0233
(0.5572)
E2.(CC)
Usable Observations
Cases Correct
Log Likelihood
Pseudo R2
Noise-to-signal ratio
(Percentile)
1781
1423
-766.36
0.2573
0.2922
0.834
1781
1428
-761.81
0.2622
0.3006
0.892
1781
1449
-751.95
0.2729
0.3222
0.900
1781
1459
-715.46
0.3124
0.1461
0.900
1781
1444
-722.07
0.3053
0.2572
0.888
1781
1404
-737.34
0.2888
0.3118
0.900
******1051
T-statistic
34
1781
1419
-742.44
0.2833
0.3028
0.900
1781
1421
-766.21
0.2575
0.2989
0.900
0.0159
(0.3448)
-0.7468
(-0.9983)
1781
1425
-765.83
0.2579
0.2964
0.894
1781
1462
-685.26
0.3449
0.2120
0.900
10
11
12
-0.1484
(-5.4298)***
-0.1468
(-5.4481)***
-2.2518
(-4.6669)***
-0.3108
(-1.3186)
-0.1054
(-4.4542)***
-0.1054
(-4.4542)***
-0.1258
(-3.5764)***
-0.0951
( -2.4799)***
-0.1718
( -2.8009)***
-0.1796
(-5.7319)***
-0.1537
(-5.4454)***
-0.1480
(-5.4294)***
-0.1496
(-5.4288)***
-0.2377
(-1.0143)
-0.2377
(-1.0143)
-0.4499
(-1.7275)*
-0.5070
(-1.9526)*
-0.4557
(-1.8491)*
-0.4176
(-1.7160)*
-0.3846
(-1.5824)
-0.3948
(-1.6011)
-0.3811
(-1.5840)
0.0152
(0.2396)
-1.5398
(-3.0843)***
-0.3365
(-1.2172)
A
A1.M1
A2.
A3.M2
A4.M2/
-0.3715
(-1.5430)
A5.
A6.
B
B1.
B2.
-0.0019
(-0.7832)
0.1877
(1.3175)
-0.8860
(-4.2777)***
0.1923
(1.3487)
-0.9484
(-4.5632)***
0.2143
(1.5055)
-0.9237
(-4.4276)***
1.6404
(0.9734)
0.2143
(1.5056)
-0.9238
(-4.4277)***
0.1389
(0.9194)
-0.8395
(-3.9243)***
0.1920
(1.3149)
-0.9939
( -4.3900)***
0.2261
(1.5661)
-1.0026
(-4.5008)***
0.1634
(1.1475)
-0.9336
(-4.4555)***
0.1804
(1.2608)
-0.9019
(-4.3264)***
0.1681
(1.1701)
-0.8877
(-4.2902)***
0.1991
(1.3870)
-0.8776
(-4.2296)***
0.2644
(1.6736)*
-1.0969
(-4.5174)***
B3.
B4.
-0.0019
(-0.7786)
-1.6457
(-0.9765)
B5.
B6.
C
C1./
C2.
-0.3245
(-0.9780)
0.7248
(8.0375)***
-7.7771
(-11.9941)***
0.7478
(8.1944)***
-7.3896
(-11.2429)***
0.6906
(7.6527)***
-8.1908
(-12.0927)***
0.6906
(7.6526)***
-8.1909
(-12.0928)***
0.7320
(8.1237)***
-7.8789
( -11.9449)***
C3./GDP
0.6580
(-1.4582)
0.4846
(5.3856)***
-6.2837
(-9.6275)***
-0.0738
(-0.8524)
C4./GDP
0.4860
(5.3011)***
-6.2153
(-9.6486)***
0.7163
(7.8693)***
-7.7851
(-11.9970)***
0.7246
(8.0324)***
-7.7873
(-11.9932)***
1.4563
(7.6281)***
1.4556
(7.5547)***
1.4219
(7.4315)***
1.4220
(7.4323)***
1.4589
(7.6485)***
1.2887
(6.6757)***
1.2927
( 6.6808)***
-1.0991
(-3.2072)***
1.6064
(8.1793)***
D3.
1.5523
(7.1452)***
-0.2492
(-0.9236)
E
E1.
(EMP)
1.4598
(7.6474)***
1.4588
(7.6339)***
-1.0213
(-1.3486)
E2.(CC)
Usable Observations
Cases Correct
Log Likelihood
Pseudo R2
Noise-to-signal ratio
(Percentile)
0.7238
(8.0209)***
-7.7519
(-11.9597)***
0.1130
( 0.9390)
D
D1.
D2.
0.7461
(7.8622)***
-7.9097
(-12.0795)***
2872
2487
-962.08
0.1921
0.3443
0.900
2872
2490
-950.76
0.2002
0.2751
0.899
2872
2485
-958.30
0.1948
0.3422
0.899
2872
2485
-958.30
0.1948
0.3422
0.899
2872
2487
-961.59
0.1924
0.3545
0.899
2748
2405
-857.26
0.1717
0.2450
0.898
2748
2402
-857.24
0.1717
0.2553
0.898
******1051
T-statistic
35
2872
2482
-956.45
0.1961
0.3318
0.900
2872
2483
-961.65
0.1924
0.3432
0.899
2872
2487
-960.90
0.1929
0.3403
0.900
0.3399
(3.3703)***
-7.2636
(-10.0314)***
-0.6736
(-4.6309)***
0.6434
(3.6253)***
-0.6333
(-1.7055)*
1.4555
(6.1676)***
0.0330
(0.7973)
0.0352
(0.9270)
2872
2488
-961.65
0.1924
0.3562
0.899
2748
2388
-831.46
0.1915
0.2911
0.893
2003
-0.1589
(-5.7999)***
0.1238
(3.1004)***
-0.1356
(-5.7445)***
-0.4274
(-2.1841)**
-0.4747
(-2.3969)***
A
A1.M1
A2.
A3.M2
A4.M2/
-0.1575
(-5.8621)***
-1.7602
(-5.3303)***
-0.3318
(-1.7413)*
10
11
-0.0950
(-4.7600)***
-0.1350
(-3.9144)***
-0.0579
(-1.7359)*
-0.1596
(-2.7429)***
-0.1412
(-5.0373)***
-0.1391
(-4.9427)***
-0.1606
(-5.8261)***
-0.1577
(-6.0328)***
-0.3216
(-1.6780)*
-0.5169
(-2.3899)***
-0.6118
(-2.8999)***
-0.4977
(-2.5043)***
-0.3949
(-2.0263)**
-0.3816
(-1.9734)**
-0.4285
(-2.2069)**
-0.4449
(-2.2303)***
12
0.0757
(1.8074)*
0.0495
(1.0909)
-1.5613
(-4.4216)***
-0.2821
(-1.3392)
A5.
A6.
B
B1.
B2.
-0.0023
(-0.8232)
-0.2258
(-1.5553)
-0.7926
(-4.3625)***
-0.1861
(-1.2791)
-0.9182
(-4.7382)***
-0.1912
(-1.3327)
-0.8323
(-4.5856)***
-0.1930
(-1.3572)
-0.8506
(-4.6247)***
-0.0063
(-1.8983)*
-0.2932
(-1.8262)*
-0.7422
(-3.9612)***
-0.3011
( -1.9563)*
-0.8168
(-4.1742)***
-0.2177
(-1.4806)
-0.8871
(-4.5969)***
-0.1990
(-1.3851)
-0.7620
(-4.1945)***
-0.1911
(-1.3295)
-0.7284
(-4.0235)***
-0.2059
(-1.4258)
-0.7856
(-4.3202)***
-0.2476
(-1.6737)*
-0.7958
(-4.3835)***
-0.0532
(-0.3654)
-0.9166
(-4.4056)***
B3.
B4.
B5.
B6.
C
C1./
C2.
-0.3445
(-1.1876)
0.5094
( 8.1316)***
-8.2097
(-14.3210)***
0.3866
(5.9010)***
-7.2066
(-12.5006)***
0.5011
(7.9636)***
-7.8571
(-13.5855)***
0.4888
(7.7131)***
-8.7067
(-14.5628)***
0.5143
(8.0799)***
-8.2937
(-14.2696)***
C3./GDP
0.9396
(2.4326)***
0.4475
(7.1733)***
-7.0925
(-12.3068)***
-0.1977
(-2.9393)***
C4./GDP
0.4131
(6.3142)***
-7.0365
(-12.2153)***
0.5117
(7.9264)***
-8.0546
(-13.9400)***
0.5083
(8.1136)***
-8.2025
(-14.3268)***
1.2144
(8.9494)***
1.1054
(8.1420)***
1.2088
(8.8568)***
1.2007
(8.8474)***
1.2108
( 8.9204)***
1.1358
( 8.3482)***
1.1316
(8.3281)***
0.6199
( 2.7841)***
1.1565
( 8.4263)***
D3.
0.9083
(5.9069)***
0.8272
(4.2823)***
E
E1.
(EMP)
1.2162
(8.9565)***
1.2173
(8.9667)***
0.0319
(1.1680)
E2.(CC)
Usable Observations
Cases Correct
Log Likelihood
Pseudo R2
Noise-to-signal ratio
(Percentile)
0.5086
(8.2114)***
-8.2146
(-14.3060)***
0.0572
( 0.4545)
D
D1.
D2.
0.5054
(7.9528)***
-8.1422
(-14.1325)***
4713
3901
-1802.39
0.2128
0.3567
0.897
4529
3795
-1653.85
0.2131
0.3264
0.878
4713
3909
-1787.45
0.2192
0.3281
0.897
4713
3904
-1795.84
0.2156
0.3698
0.900
4713
3909
-1801.67
0.2131
0.3529
0.900
4529
3800
-1654.35
0.2129
0.3017
0.900
4529
3802
-1658.52
0.2110
0.3169
0.900
******1051
T-statistic
36
4713
3906
-1798.46
0.2145
0.3717
0.897
4713
3902
-1792.87
0.2168
0.3601
0.897
4713
3903
-1801.71
0.2131
0.3596
0.893
0.2421
(3.3982)***
-7.9634
(-12.5485)***
-0.8765
(-6.9709)***
0.8654
(5.3791)***
0.7492
(3.0645)***
1.1018
(7.7777)***
0.0285
(0.9698)
-0.8803
(-1.7037)*
4713
3902
-1800.70
0.2135
0.3619
0.897
4529
3805
-1601.73
0.2365
0.3391
0.898
4.10
Hardy and
Glick and
Pazarbasioglu (1998) Hutchison (1999)
Demirg-Kunt and
Detragiache (1997)
Hutchison and
McDill (1999)
A1.M1
---
---
---
A2.
---
A3.M2
---
A4.M2/
A5.
A6.
Mendis (2001)
(2000)
---
---
---
---
---
---
---
---
---
---
---
---
---
---
---
---
---
---
B1.
---
---
---
---
---
---
B2.
---
---
---
---
---
---
B3.
---
---
---
---
---
---
B4.
---
---
---
---
---
---
---
B5.
---
---
---
---
---
B6.
---
---
---
C1./
---
---
---
---
---
---
C2.
---
---
---
---
---
C3./GDP
---
---
---
---
---
C4./GDP
---
---
---
---
---
---
---
---
---
---
---
---
---
---
---
---
---
---
---
---
---
---
D1.
D2.
D3.
E
E1.
------
E2.
10
10
37
2003
4.11
=24
A1.M1
0.3369
1.2243
0.9751
A2.
0.4674
0.5467
0.5231
A3.M2
0.6920
0.8877
0.8262
A4.M2/
0.8160
0.7441
0.7738
A5.
0.8382
1.0263
1.0359
A6.
0.9528
0.8068
0.8630
B1.
0.6373
0.6486
0.6523
B2.
0.7970
0.7941
0.8002
B3.
1.2996
1.3401
1.3259
B4.
1.2982
0.9401
1.0655
B5.
1.1529
1.0267
1.0774
B6.
1.1929
0.8059
0.9250
C1./
0.4446
0.6867
0.6149
C2.
0.4151
0.5761
0.5210
C3./GDP
1.0340
0.7568
0.8790
C4./GDP
1.1834
0.8565
0.9847
D1.
---
---
---
D2.
---
---
---
D3.
---
---
---
0.9307
0.7720
0.8352
---
---
---
0.2922
0.3443
0.3567
E
E1.
E2.
F ()
F1.
noise-to-signal ratio
38
4.12
0.5682
---
0.5620
0.2104
---
0.2077
0.4852
---
0.4976
0.3264
---
0.3924
0.2606
---
0.4412
0.4336
---
0.3998
0.7313
---
0.7140
---
0.1703
0.1717
---
0.4190
0.3933
---
0.3918
0.3737
---
0.1550
0.1598
---
0.5036
0.4732
---
0.1507
0.1408
---
0.4776
0.4208
---
0.3366
0.3496
---
0.8631
0.8649
---
0.2749
0.2645
---
0.3091
0.3023
---
0.2647
0.2699
---
0.2056
0.2000
---
0.2898
0.2840
---
0.4570
0.4307
39
2003
Ms
= a 0 + a 1 real GDP + a 2 inf . + a 3 time +
P
A1. M1
A2.
IFS 62 Datastream
A3.M2
A4.M2/
A5.
IFS 64
A6.
IFS 60 / IFS 64
B
B1.
IFS 1Ld
B2.
IFS 70
B3.
IFS 71
B4.
B5.
B6.
IFS ae
C
C1./
C2.
C3./GDP
C4./GDP
D
D1.
D2.
D3.
E
E1.
E2.
40
41