Analysis and Identification of Determinants of Economic Crises

The general objective of this dissertation is to analyze the transmission of global economic crises in order to provide useful information to preserve the stability of the economy. To attain this general objective, three specific objectives are pursued through the different chapters of this study. Chapter 2 analyses the contagion effect in the US banking sector. To achieve this goal, the spatial correlation methodology is used to capture the effect of the risk-taking of banks that belong to a same neighborhood. Our results reveal the usefulness of the approach proposed by this dissertation as a proper tool to track and monitor the contagion in the banking sector. In particular, we provide evidence of a significant contagion effect thorough three different channels: banks that belong to the same state, same Federal-Reserve district, and are of the same size. Furthermore, National banks show no significant contagion which evidences an important stability of this group of banks. Finally, the pure-panic hypothesis is rejected given that there is no significant contagion effect transmitted from one bank to the whole banking sector. Chapter 3 studies the determinants of the transmission of global economic crises across countries. An Event Study is used to determine the number of days that a global disturbance takes to impact a stock market. This constitutes our measure of the transmission effect. Moreover, we use Survival Analysis in order to identify macroeconomic determinants of the transmission of global crises across countries. Therefore, a set of macroeconomic variables are identified to have a significant impact on the probability of transmission of a global economic crisis. As a consequence, these variables can be used to decrease the probability of transmission and then preserve the stability of the economy. Chapter 4 investigates the determinants of the long-term interest rate parity in order to provide useful information to decrease the cost of international funding. In this way, the ability to face the consequences of economic crises can be enhanced by the access to cheaper funding for public policies. In addition, we test the uncovered interest rate parity (UIRP) hypothesis. By using a Gravity model, we provide a set of macroeconomic determinants of the long-term interest rate differential. Furthermore, we provide evidence that supports the UIRP which is an important contribution to the interest-rate literature given most of the empirical studies rejects this hypothesis.

Name thesis:degree_name

Doctor of Philosophy

Level thesis:degree_level

Campus Only Dissertation

Discipline thesis:degree_discipline

Economics

Year

2013

Author dc:creator

• Pino Saldias, Gabriel

Contributors dc:contributor

• Sharma, Subhash

• Economic Crises
• Transmission

Repository record dc:identifier

https://opensiuc.lib.siu.edu/dissertations/760

OAI identifier oai:identifier

oai:opensiuc.lib.siu.edu:dissertations-1763