Many empirical studies of banking crises have employed “banking crisis” (BC) indicators constructed using primarily information on government actions undertaken in response to bank distress. We formulate a simple theoretical model of a banking industry which we use to identify and construct theory-based measures of systemic bank shocks (SBS). Using both country-level and firm-level samples, we show that SBS indicators consistently predict BC indicators based on four major BC series that have appeared in the literature. Therefore, BC indicators actually measure lagged government responses to systemic bank shocks, rather than the occurrence of crises per se. We reexamine the separate impact of macroeconomic factors, bank market structure, deposit insurance, and external shocks on the probability of a systemic bank shock and on the probability of government responses to bank distress.