Comparing the Origins of External Default, Domestic Default and Banking Crisis

DOI

10.2991/ictim-17.2017.5How to use a DOI?

Keywords

External default, domestic default, probit model, random Forest

Abstract

Purpose of this paper is to explore the origins of external default, domestic default and banking crisis. Using Random Forest (Breiman et al.,1984) to measure variable importance, we adopt the long-dated cross-country data on public debt developed by Reinhart and Rogoff (2009), which covers 66 countries in 1970 to 2012. The robust conclusions as follows.1. "Debt-related variables" have higher importance on eruption of external default. 2. "Macroeconomic-related variables" reflecting the background of a country have higher importance on eruption of domestic default. 3. "The interest payments from debt" have higher importance on eruption of banking crisis. Especially, the origins of external default are corresponding with those of banking crisis. In the past, the relationship between macroeconomic variables and debt default is hard to conclude. However, we get robust conclusions, reflecting that "macroeconomic-related variables", "debt-related variables" are indeed important origins of external default, domestic default and banking crisis.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Chien-Jung Ting
AU  - Ching-Shu Wang
PY  - 2017/09
DA  - 2017/09
TI  - Comparing the Origins of External Default, Domestic Default and Banking Crisis
BT  - Proceedings of the International Conference on Transformations and Innovations in Management (ICTIM 2017)
PB  - Atlantis Press
SP  - 59
EP  - 78
SN  - 2352-5428
UR  - https://doi.org/10.2991/ictim-17.2017.5
DO  - 10.2991/ictim-17.2017.5
ID  - Ting2017/09
ER  -