英文标题：
《Empirical facts characterizing banking crises: an analysis via binary
  time series》
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作者：
Paolo Di Caro, Giuseppe Pernagallo, Antonino Damiano Rossello and
  Benedetto Torrisi
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最新提交年份：
2019
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英文摘要：
  Various works have already showed that common shocks and cross-country financial linkages caused the banking systems of several countries to be highly interconnected with the result that during bad times, banking crises may arise simultaneously in different countries. Our aim is to provide further evidence on the topic using a dataset made by dichotomous banking crises time series for 66 countries from 1800 to 2014. Via the use of heatmap matrices we show that several countries exhibit pairwise correlation, which means that banking crises tend to occur in the same year. Clustering analysis suggests that developed countries (for the most European ones) are highly similar in terms of the path of events. An analysis of the events that followed the Great Depression and the Great Recession shows that after the crisis of 2008, banking crises tend to characterize countries tied by financial links whereas before 2008 contagion seems to affect countries in the same geographical area. Clustering analysis shows also that after financial liberalization, crises affected countries with similar economic structures and growth. Further researches should enlighten the origin of these linkages investigating how the process of contagion eventually happens.
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中文摘要：
各种研究已经表明，共同冲击和跨国金融联系导致几个国家的银行系统高度互联，结果是在经济不景气时，不同国家可能同时出现银行危机。我们的目标是利用1800年至2014年66个国家的二分银行危机时间序列数据集，提供关于这一主题的进一步证据。通过使用热图矩阵，我们表明几个国家表现出成对关联，这意味着银行业危机往往发生在同一年。聚类分析表明，发达国家（对于大多数欧洲国家）在事件发生的路径上非常相似。对大萧条和大衰退之后发生的事件的分析表明，2008年危机之后，银行业危机往往以金融联系紧密的国家为特征，而在2008年之前，危机的蔓延似乎影响到同一地理区域的国家。聚类分析还表明，金融自由化后，危机影响到经济结构和增长相似的国家。进一步的研究应该能够揭示这些联系的起源，研究传染过程最终是如何发生的。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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