Factors Affecting Financial Crises: The Bayesian Model Averaging

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BAYANI OZRA; MOHAMMADI TEIMUR

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Journal: Journal of Quantitative Economics Year:2019 | Volume:16 | Issue:2 Page(s): 145-180

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Title

Factors Affecting Financial Crises: The Bayesian Model Averaging

Author(s)

BAYANI OZRA | MOHAMMADI TEIMUR | Issue Writer Certificate

Keywords

Financial crisisQ1

UncertaintyQ2

Bayesian averagingQ1

Abstract

Recent crises indicate the failure of early warning models. The research considers this failure to identify the explanatory variables and the empirical design of the model, the factors that this research seeks to improve. In this research, it is attempted to determine the factors affecting the Financial crisis in Iranian economy by defining Uncertainty in crisis models and using a conventional approach to Bayesian average. In this study, 62 variables affecting the Financial crisis were introduced into the model. Finally, using the Bayesian averaging model, 12 non-critical variables that affect the Financial crisis, which include deficit or surplus, unofficial exchange rate deviation from the official, inflation rate, ratio External debt to foreign assets of the Central Bank; Increasing coefficient of money (liquidity/ monetary base); Export to GDP ratio; Import to GDP; Government expenditure to GDP ratio; Budget deficit to GDP; Liquidity ratio to foreign assets of Central Bank; Rate of credit growth granted to the private sector and inflation squeeze. Regarding the output of the results, it can be stated that the Financial crisis index in Iran's economy is a multi-dimensional problem, as variables related to financial policy, monetary policy and foreign exchange policy affect this index.

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APA: Copy

BAYANI, OZRA, & MOHAMMADI, TEIMUR. (2019). Factors Affecting Financial Crises: The Bayesian Model Averaging. JOURNAL OF QUANTITATIVE ECONOMICS (QUARTERLY JOURNAL OF ECONOMICS REVIEW), 16(2 ), 145-180. SID. https://sid.ir/paper/383432/en

Vancouver: Copy

BAYANI OZRA, MOHAMMADI TEIMUR. Factors Affecting Financial Crises: The Bayesian Model Averaging. JOURNAL OF QUANTITATIVE ECONOMICS (QUARTERLY JOURNAL OF ECONOMICS REVIEW)[Internet]. 2019;16(2 ):145-180. Available from: https://sid.ir/paper/383432/en

IEEE: Copy

OZRA BAYANI, and TEIMUR MOHAMMADI, “Factors Affecting Financial Crises: The Bayesian Model Averaging,” JOURNAL OF QUANTITATIVE ECONOMICS (QUARTERLY JOURNAL OF ECONOMICS REVIEW), vol. 16, no. 2 , pp. 145–180, 2019, [Online]. Available: https://sid.ir/paper/383432/en

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