Banking crises are occurring intermittently. This indicates that pre-current warning models have not been successful in identifying these crises. Examination of existing models specifies that the failure of these models is mainly due to the identification of explanatory variables and experimental design of the model, which the researchers of the present study aimed at improving. In order to moderate the problem of model uncertainty by averaging all models (Bayesian averaging) the present research attempted to determine the factors affecting the banking crisis in Iran. In this study, 49 variables affecting the banking crisis were included in the model. Finally, using the Bayesian averaging model approach, 12 non-fragile variables affecting the financial crisis were identified consisting of cost of funding, none performing loan (NPL), deposit to loan (DTL), spread, capital adequacy, earning assets to total assets ratio, net LTD (after deducted Legal reserves), cash coverage ratio, net stable funding ratio (NSFR) in the presence of all variables, duration of assets and liabilities, interest rate duration, and increase in properties' possession. According to the results, it could be deduced that the banking crisis index in the Iranian economy is a problem with wide dimensions as the variables related to monetary and financial sector policy makers affect this index. The banks studied in this study are 10 banks listed on the Tehran Stock Exchange (Kar Afarin, Eghtesad-e Novin, Parsian, Sina, Mellat, Tejarat, Saderat, Post Bank, Mellat, Dey) in an 11-year period from 2008 to 2019.
- Abiad, A. (2003). Early Warning Systems: A survey and a Regime Switching Approach, IMF working paper, wp/03/32.
- Alessi, L. & C. Detken. (2011). Quasi Real Time Early Warning Indicators for Costly Asset Price Boom/bust Cycles: A Role for Global Liquidity. European Journal of Political Economy, 27(3): 520–533.
- Allen, F. & D. Gale. (2002). Financial Fragility, Working Paper No. 01–37, Wharton Financial Institutions Center, University of Pennsylvania.
- Asanović, Ž. (2013). Early Warning Models for Systemic Banking Crises in Montenegro, Economic and Business Review, 15(2): 149-135.
- Babecký, J., T. Havránek, J. Matějů, M. Rusnák, K. Šmídová & B. Vašíček. (2012). Leading Indicators of Crisis Incidence: Evidence from Developed Countries, Czech National Bank, mimeo.
- Bonis, R.D., A. Giustiniani & Gomel. (1999). Crises and Bail Outs of Banks and Countries: Linkages, Analogies, and Differences. The World Economy, 22: 55-86.
- Borio, C. & P. Lowe. (2002). Assessing the risk of banking crises, BIS Quarterly Review, 43-54 (Basel Switzerland: Bank for International Settlements).
- Bussière, M. (2007). Balance of Payment Crises in Emerging Markets – How Early Were the Early Warning Signals?, European Central Bank Working Paper 713.
- Collins, S.M. (2001). A Model of the Timing of Currency Crises; Georgetown University, Unpublished manuscript, August.
- Chen.M. Davis, E. P., & Karim, D. (2021). Could early warning systems have helped to
predict the sub-prime crisis? National Institute Economic Review, 206(1): 35-47.-
- Crespo Cuaresma, J. & T. Slacik. (2009). On the determinants of currency crises: The role of model uncertainty, Journal of Macroeconomics, 31(4): 621-632
- Eichengreen, B. (2002). Financial Crises: And What To Do About Them, Oxford University Press.
- Frankel, J.A. & G. Saravelos. (2012). Can Leading Indicators Assess Country Vulnerability? Evidence from the 2008–09 Global Financial Crisis, Journal of International Economics, 87(2): 216–231.
- Feransic A., & Karatas, E. (2021). The determinants of banking crises in developed and developing countries. International Monetary Fund, 45(1): 81-109.
- Friedman, M. & A.J. Schwartz. (1963). A Monetary History of United States, 1837-1960, Prinston University Press, Prinston.
- George, E. & McCulloch, R. (1993). Variable Selection via Gibbs Sampling, Journal of the American Statistical Association, 88: 881-889.
- Gorton, G. (1988). Banking Panics and Business Cycles, Oxford Economic Papers, 40: 751-81.
- Gower, B. (1997). Scientific Method: A Historical and Philosophical Introduction, Routledge.
- Hoeting, J., D. Madigan, A. Raftery, & V. Chris. (1999). Bayesian Model Averaging: A Tutorial, Technical Report 9814, Department of Statistics, Colorado State University.
- Hosni, K. (2014). Early Warning Indicators for Systemic Banking Crises, Journal of Business Studies Quarterly, 5(4): 244-222.
- Hawkins, J. & K. Marc. (2000). Measuring potential vulnerabilities in emerging market economies, BIS Working Papers 91, Bank for International Settlements.
- Jeffreys, H. (1961). Theory of Probability, 3rd ed., Oxford University Press, London. Hall, Robert and Charles Jones, (1996), The Productivity of Nations, NBER Working Paper #5812, November 1996. The data for this paper were taken from the Chad Jone’s Web Page.
- KOOP, G. (2003). Bayesian Econometrics, John Wiley and Sons.
- Leamer, E. (1978). Specification Searches, John Wiley and Sons, New York.
- Laeven, L. & F. Valencia. (2012). Systemic Banking Crises Database: An Update. Washington: International Monetary Fund.
- Magnus, J., O. Powell, & P. Prufer. (2010). A Comparison of Two Model Averaging Techniques with an Application to Growth Empirics, Journal of Econometrics, 154: 139-153.
- Mishkin, F. (1992). Anatomy of Financial Crisis, Journal of Evoloutionary Economy, 2: 115-130.
- Mitchell, W.C. (1941). Business Cycles and their Causes, University of California Press.
- Noble, R. B. (2000). Multivariate Applications of Bayesian Model Averaging, Oates, W. E. (1985). Searching for Leviathan: an Empirical Study", American Economic Review, 75: 748-757.
- Poirier, D. (1995). Intermediate Statistics and Econometrics - A Comparative Ap- proach, MIT Press.
- Raftery, A.E. (1988). Inference and Prediction for the Binomial N Parameter: A Hierarchical Bayes Approach, Biometrika, 75: 223-228.
- Raftery, A.E., D. Madigan & J.A. Hoeting. (1997). Bayesian model averaging for linear regression models, Journal of the American Statistical Association, 92 (437): 179–191.
- Reinhart, C. M. & Rogoff, K. S. (2009). This Time is Different, New Jersey: Princeton University Press.
- Reinhart, C.M. & K. S. Rogoff. (2011). From financial crash to debt crisis, International Finance and Macroeconomics, 101 (5): 1676–1706.
- Rose, A.K., & M.M. Spiegel. (2011). Cross-Country Causes and Consequences of the 2008 Crisis: An Update, European Economic Review, 55(3): 309–324.
- Sala-I-Martin, X., G. Doppelhofer, & R.I. Mille. (2004). Determinants of long-term growth: a Bayesian averaging of classical estimates (BACE) approach, American Economic Review, 94 (4): 813–835.
- Schwartz, A. J. (1986). Real and Pseudo Financial Crisis, Financial Crisis and the World Banking System, McMillan.London: 11-31.
- Sorensen, D & D. Gianola. (2002). Likelihood Bayesian, and MCMC Methods in Quantitative Genetics, N. Y. Springer-Verlag.
- Thornton, H. (1802). An Enquiry into the Nature and Effects of the Paper Credit of Great Britain.
- Zellner, A. (1971). An Introduction to Bayesian Inference in Econometrics, Wiley, New York.