Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation

Elena-Ivona Dumitrescu (1) , Bertrand Candelon (2) , Christophe Hurlin (1) , Franz C. Palm (3)

1 LEO - Laboratoire d'économie d'Orleans [2008-2011]
2 Economics
3 Maastricht University [Maastricht]

In this paper we propose a multivariate dynamic probit model. Our model can be considered as a non-linear VAR model for the latent variables associated with correlated binary time-series data. To estimate it, we implement an exact maximum-likelihood approach, hence providing a solution to the problem generally encountered in the formulation of multivariate probit models. Our framework allows us to apprehend dynamics and causality in several ways. Furthermore, we propose an impulse-response analysis for such models. An empirical application on three nancial crises is nally proposed.

Mots clés: Non-linear VAR; Multivariate dynamic probit models; Exact maximum likelihood; Impulse-response function; Financial crises

Mots clés: VAR non-linéaire; Probit multivarié dynamique; foction de réponse; Crise financière

Domaines: Economies et finances

Elena-Ivona Dumitrescu, Bertrand Candelon, Christophe Hurlin, Franz C. Palm. Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation. 2012. ⟨halshs-00630036v2⟩