Commodity Price Movements and Banking Crises
IMF Working Papers, July 6, 2018
Source details
- Canonical URL
- Commodity Price Movements and Banking Crises
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Bibliographic details
- Authors: Markus Eberhardt, Andrea F Presbitero
- Published: July 6, 2018
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781484366776.001
Research scope and model
- Developed an empirical model to predict banking crises in a sample of 60 low-income countries (LICs).
- Sample period: 1981-2015.
- Focus: assign price movements in primary commodities a key role in predicting banking crises given recent financial sector stress associated with low commodity prices.
Key findings
- Accounting for changes in commodity prices significantly increases the predictive power of the model.
- The commodity price effect is economically substantial and robust to the inclusion of a wide array of potential drivers of banking crises.
- Net capital inflows increase the likelihood of a banking crisis.
- In contrast to recent findings for advanced and emerging economies, credit growth and capital flow surges play no significant role in predicting banking crises in LICs.
Subject areas and keywords
- Subject: Balance of payments, Banking crises, Capital inflows, Commodity price fluctuations, Commodity prices, Financial crises, Prices.
- Keywords include: aggregate commodity price movement, Banking crises, Capital inflows, commodity exporter, commodity price behavior, Commodity price fluctuations, commodity price growth, commodity price growth margin, commodity price volatility measure, Commodity prices, crisis dummy, crisis event, Early warning system, exchange rate, Global, Growth margin, Low-income countries, volatility measure, WP.
Content in this bundle
- Commodity Price Movements and Banking Crises, WP/18/153, July 2018