Comparing the Origins of External Default, Domestic Default and Banking Crisis
- 10.2991/ictim-17.2017.5How to use a DOI?
- External default, domestic default, probit model, random Forest
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.
- © 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/).
Cite this article
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 -