Volume 11, Issue 39 (3-2020)                   jemr 2020, 11(39): 187-240 | Back to browse issues page

XML Persian Abstract Print

Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:

Sadeghi Amroabadi B, Mahmoudinia D. Simultaneous Occurrence of Banking Debt and Currency Crises (Triple Crises) in Iranian Economy and Its Determining Factors During the Period 1980-2017. jemr 2020; 11 (39) :187-240
URL: http://jemr.khu.ac.ir/article-1-2029-en.html
1- Chamran University, Ahvaz
2- Vali Asr University , davoud.mahmoudinia@gmail.com
Abstract:   (3678 Views)
In monetary and financial literature, financial crises include a wide range of crises. But in general, there are three important types of financial crisis, including the currency crisis. The banking crisis and the debt crisis. The aim of this study is to simultaneously analyze the occurrence of banking, debt and currency crises, known as the three crises in Iran. For this purpose, first to determine the indicators related to banking crises, currency and debt payments and using logistics and self-regression vector models during the 1980 to 2017 seasonally, we have discussed the relationship between these three crises. The results show that the three banking crises, debt and currency, affect each other. The short-term results of the VAR model showed the effect of the banking crisis and the currency crisis on the debt crisis is positive and significant, indicating an increase in the likelihood of a banking crisis and the currency will increase the debt of the government and the country. Also, the effects of banking and debt crises on the currency crisis are positive and significant. This indicates the existence of causal relationship between banking crises and debt on the currency crisis. The results of the Logit model show that the effect of inflation variables, liquidity growth and the growth of the exchange rate on the indicators of the three crises that are significant and positive in most models.
Full-Text [PDF 2924 kb]   (459 Downloads)    
Type of Study: Applicable | Subject: پولی و مالی
Received: 2019/12/6 | Accepted: 2020/05/9 | Published: 2020/07/21

1.  - Abu Nuri, Ismail; Mehregan, Nader and Nafiseh Safari (2019). Identifying the Influential Factors of Probability of Crisis in the Banking System in the Selected Countries. Quarterly Journal of Economic Research and Policies; 3; 26 (88) :7-38 URL: http://qjerp.ir/article-1-2130-fa.html (in Persian)
2. Ari, A., and Cergibozan, R. (2016). The Twin Crises: Determinants of Banking and Currency Crises in the Turkish Economy, Emerging Markets Finance & Trade, 52:123-135, 2016 [DOI:10.1080/1540496X.2016.1105683]
3. Babecký, J., Havránek, T., Matějů, J., Rusnák, M., Šmídková, K., & Vašíček, B. (2014). Banking, debt, and currency crises in developed countries: Stylized facts and early warning indicators. Journal of Financial Stability, 15, 1-17. [DOI:10.1016/j.jfs.2014.07.001]
4. Baldacci, E. and Gupta, S. (2009). Fiscal Expansions: What Works, Finance & Development, Vol. 46 (4), pp. 35-37
5. Bauer, C., & Herz, B.,& Karb, V., (2007). Are twin currency and debt crises special?Journal of Financial stability, 3, 59-84 [DOI:10.1016/j.jfs.2007.03.002]
6. Borensztein, E., Panizza, U., (2009). The costs of sovereign defaults. IMF Staff Pap. 56 (4), 683-741. [DOI:10.1057/imfsp.2009.21]
7. Brutti, F. (2010). Legal enforcement, public supply of liquidity and sovereign risk. Institute for Empirical Research in Economics, University of Zurich Working Paper no. 464
8. Buiter , Willem H. (2008) Central banks and financial crises. NBER and CEPR
9. Caballero, R., Hoshi, T., Kashyap, A., 2008. Zombie lending and depressed restruc-turing in Japan. Am. Econ. Rev. 98, 1943-1977. [DOI:10.1257/aer.98.5.1943]
10. Calvo, G. (1997). Varieties of capital-market crises. In G. Calvo, & M. King (Eds.), The debt burden and its consequences for monetary policy. London: MacMillan Press [DOI:10.1007/978-1-349-26077-5]
11. Candelmon, B. and Palm, F.C. (2010). Banking and Debt Crises in Europe. The Dangerous Liaisons?. CESifo Working Paper no. 3001.
12. Cavallo, E. and Izquierdo, A. (2009). Dealing with an International Credit Crunch: Policy Responses to Sudden Stops in Latin America. Inter-American Development Bank, mimeo
13. Chang, R., & Velasco, A. (2000). Financial fragility and the exchange rate regime. Journal of Economic Theory, 92, 1-34. [DOI:10.1006/jeth.1999.2621]
14. Dell'Ariccia, G., Detragiache, E., Rajan, R., (2008). The real effect of banking crises. J. Financ. Intermed. 17, 89-112. [DOI:10.1016/j.jfi.2007.06.001]
15. Diaz-Cassou, J., Erce, A. and Vazquez, J. (2008a). Recent episode of sovereign debt restructuring: A case-study approach. Bank of Spain Occasional Document no. 0804. [DOI:10.2139/ssrn.1210382]
16. Dornbusch, R. (1989) Debt Problems and the World Macroeconomy.in Sachs, Jeffery D. (Eds.)
17. Dreher, A., Herz, B., & Karb, V. (2006). Is there a causal link between currency and debt crises?. International Journal of Finance & Economics, 11(4), 305-325. [DOI:10.1002/ijfe.300]
18. Eichengreen, B., Rose, A. K., & Wyplosz, C. (1996). Contagious currency crises: First tests. Scandinavian Journal of Economics, 98,, 463-484 [DOI:10.2307/3440879]
19. Eijffinger, S. C, & Karataş, B. (2019). Together or apart? The relationship between currency and banking crises. Journal of Banking & Finance, 105631. [DOI:10.1016/j.jbankfin.2019.105631]
20. Eijffinger, S. C., & Karatas, B. (2013). Three sisters: The interlinkage between sovereign debt, currency and banking crises. CEPR Discussion Papers 9369, C.E.P.R. Discussion Papers.
21. Flood, Robert P. and Jeanne, Olivier (2000), An Interest Rate Defense of a Fixed Exchange Rate?, IMF Working Paper No. 00/159. [DOI:10.5089/9781451857665.001]
22. Frankel, J.A., Rose, A.K., (1996). Currency crashes in emerging markets: an empirical treatment. J. Int. Econ. 41 (3/4), 351-366. [DOI:10.1016/S0022-1996(96)01441-9]
23. Frydl, E.J., 1999. The Length and Cost of Banking Crises. IMF Working Paper No. 99/30. [DOI:10.5089/9781451844894.001]
24. Glick, R., & and Hutchison, M. (1999). Banking and Currency Crises: How Common Are Twins? Center for Pacific Basin Monetary and Economic Studies. Economic Research Department, Federal Reserve Bank of San Francisco Working PaperPB99-07
25. Honohan, P. (2008). Risk Management and the Costs of the Banking Crisis. The Institute for International Integration Studies Discussion Paper no. 262. [DOI:10.1177/0027950108099839]
26. IMF (2002). Sovereign Debt Restructurings and the Domestic Economy Experience in Four Recent Cases. Policy Development and Review Department.
27. IMF. (1998) Financial Crises: Characteristics and Indicators of Vulnerability
28. Jing, Z. (2015). On the relation between currency and banking crises in developing countries, 1980-2010. The North American Journal of Economics and Finance, 34, 267-291. [DOI:10.1016/j.najef.2015.09.016]
29. Jing, Z., De Haan, J., Jacobs, J., & Yang, H. (2013). Identifying Banking Crises Using Money Market Pressure: New Evidence For a Large Set of Countries. DNB Working Papers 397, Netherlands Central [DOI:10.2139/ssrn.2369449]
30. Kaminsky, G.L., Lizondo, S., Reinhart, C.M., (1998). The leading indicators of currency crises. IMF Staff Pap. 45 (1), 1-48. [DOI:10.2307/3867328]
31. Kaminsky, G. L., & Reinhart, C. M. (1999). The twin crises: the causes of banking and balance-of-payments problems. American economic review, 89(3), 473-500 [DOI:10.1257/aer.89.3.473]
32. Knedlik, T., & Von Schweinitz, G. (2012). Macroeconomic imbalances as indicators for debt crises in Europe. JCMS: Journal of Common Market Studies, 50(5), 726-745. [DOI:10.1111/j.1468-5965.2012.02264.x]
33. Laeven, L., & Valencia, F. (2008). Systemic Banking Crises: A New Database. IMF Working Paper [DOI:10.5089/9781451870824.001]
34. Laeven, L., & Valencia, F. (2012) Systemic Banking Crises Database: An Update. IMF Working Paper [DOI:10.2139/ssrn.2096234]
35. Mahmoudinia D.(2019) Central Bank Monetary Policy And Its Role In The Emergence Of Banking Crises In The Iranian Economy Within Modified Money Market Pressure Index, Quarterly Journal of Economic Research and Policies ; 27 (89) :61-97 URL: http://qjerp.ir/article-1-2209-fa.html (in Persian)
36. Moshiri, Saeed and Mohammad Nadali. (2013). Identifying the factors influencing the banking crisis in Iran's economy. Quarterly Journal of Economic Research, Volume 13, Number 44, pp. 1-27. (in Persian)
37. Nasrollahi, Mohammad, Yavari, Kazem, Najarzadeh, Reza and Nader Mehregan (2017). Designing an Early Alarm Crisis Alert System in Iran: Logistic Regression Approach. Quarterly Journal of Economic Research. Volume 52, Number 1, pp. 187-214. (in Persian)
38. Noyer, C. (2010). Sovereign crisis, risk contagion and the response of the central bank, mimeo
39. Obstfeld, M. (1995). The logic of currency crises. Berlin, Heidelberg: Springer. [DOI:10.3386/w4640]
40. Rasekhi S, Elmi Z M, Shahrazi M. (2017) Testing for Multiple Bubbles in Iranian Foreign Exchange Market:The Application of RTADF Unit Root Tests. Journal of Economic Modeling Research; 7 (27) :7-39 URL: http://jemr.khu.ac.ir/article-1-1118-fa.html(in Persian) [DOI:10.29252/jemr.7.27.7]
41. Reinhart, C.M., Rogoff, K.S., (2011). From financial crash to debt crisis. Am. Econ. Rev. 1706-1676, (5) 101 [DOI:10.1257/aer.101.5.1676]
42. Salmani Bishak, Mohammad Reza, Barghi Esgoui, Mohammad Mehdi and Lak Soda (2016). The Effects of Monetary and Fiscal Policy Shocks on Stock Market of Iran. Journal of Economic Modeling Research.; 6 (22) :93-131URL: http://jemr.khu.ac.ir/article-1-1086-fa.html(in Persian) [DOI:10.18869/acadpub.jemr.6.22.93]
43. Schimmelpfennig, M. A., Roubini, N., & Manasse, P. (2003). Predicting sovereign debt crises (No. 3-221). International Monetary Fund. [DOI:10.5089/9781451875256.001]
44. Shajari, Parasto and Bita Mohebkhah. (2011). Predicting banking crises and balance of payments using the KLR marking method (Case study: Iran). Monetary Research, Year 2, No. 4, pp. 115-152. (in Persian)
45. Stavros A. Zenios and Efrosyni Panayi (2015). Was the Cyprus crisis banking or sovereign debt?. Banks and Bank Systems, 10(2), 23-34
46. Von Hagen, J., & Ho, T. (2007). Money market pressure and the determinants of banking crises. CEPR Discussion Paper No. 4651 [DOI:10.1111/j.1538-4616.2007.00057.x]
47. Zarei, Jaleh and Akbar Komijani. (2015). Identifying and predicting banking crises in Iran. Quarterly Journal of Economic Modeling, Vol. 9, No. 29, pp. 23-1. (in Persian)

Add your comments about this article : Your username or Email:

Send email to the article author

Rights and permissions
Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

Rights and permissions
Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

© 2023 CC BY-NC 4.0 | Journal of Economic Modeling Research

Designed & Developed by : Yektaweb