Search results for " currency crises"

showing 4 items of 4 documents

Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis

2009

Abstract In this paper we use principal components analysis to obtain vulnerability indicators able to predict financial turmoil. Probit modelling through principal components and also stochastic simulation of a Dynamic Factor model are used to produce the corresponding probability forecasts regarding the currency crisis events affecting a number of East Asian countries during the 1997–1998 period. The principal components model improves upon a number of competing models, in terms of out-of-sample forecasting performance.

Economics and EconometricsFinancial contagionforecasting; dynamic factor; currency crisesFinancial contagionFinancial economicsVulnerabilityforecastingProbitFinancial Contagion Dynamic Factor Model Stochastic SimulationFinancial Contagion Dynamic Factor ModelStochastic simulationEconomicsEast AsiaFinancebusiness.industryjel:C51jel:C32Dynamic Factor modelCurrency crisisjel:F34currency crisesDynamic factorPrincipal component analysisbusinessFinancedynamic factor
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How costly are debt crises?

2011

The aim of this paper is to assess the short- and medium-term impact of debt crises on GDP. Using an unbalanced panel of 154 countries from 1970 to 2008, the paper shows that debt crises produce significant and long-lasting output losses, reducing output by about 10 percent after eight years. The results also suggest that debt crises tend to be more detrimental than banking and currency crises. The significance of the results is robust to different specifications, identification and endogeneity checks, and datasets.

Western hemisphereEconomics and Econometricsmedia_common.quotation_subjectjel:E60Settore SECS-P/02 Politica EconomicaMonetary economicsEconomic models;Sovereign debt;Gross domestic product;output losses debt crises sovereign defaults debt crisis currency crises crisis episodes currency crisisCurrency crisisGross domestic productjel:G10Identification (information)Output Losses; Debt Crises; Sovereign Defaults.CrisesCurrencyDebtEconomicsGeneral Earth and Planetary SciencesDefaultEconomic modelEndogeneityFinanceGeneral Environmental ScienceDebt crisismedia_common
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Evaluating currency crises: the case of the European monetary system

2007

In this paper we examine the nature of currency crises. We ascertain whether the currency crises of the European Monetary System (EMS) were based either on fundamentals, or on self-fulfilling market expectations driven by extrinsic uncertainty. In particular, we extend previous work of Jeanne and Masson (J Int Econ 50:327–350, 2000) regarding the evaluation of currency crisis. We contribute to the existing literature proposing the use of Markov regime-switching with time-varying transition probability model. Our empirical results suggest that the currency crises of the EMS were not due only to market expectations driven by external uncertainty, or ‘sunspots’, but also to fundamental variabl…

Statistics and ProbabilityMacroeconomicsEconomics and EconometricsMarkov chainDevaluationEuropean Monetary SystemMonetary economicsCurrency crisisProbability modelnon linear time seriesMathematics (miscellaneous)Currencynon linear time series; currency crisescurrency crisesEconomicsMarket expectationsCurrency crises Multiple equilibria Markov-switchingForeign exchange riskSocial Sciences (miscellaneous)
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Emerging Economies Faced With The Downside Of Financial Globalization: Hedges And Way Outs

2009

The underlining assumption of this paper is that developing countries are in a fragile state nowadays. Economically, they have been seriously harmed by the 2008 crisis1 but this is not the end of the story: the future still has pitfalls in which these economies might get trapped, due to their enhanced vulnerability to exogenous shocks generated by financial globalization. Ideologically, the recent events have triggered a serious backlash against capitalism, particularly the Anglo-Saxon template. Getting an insight into the causes and implications of global economic crises is therefore critical for policy-makers in emerging economies. History might be a good adviser in this respect. Lessons …

financial globalizationcurrency criseslcsh:HB71-74international reservesspeculative attackslcsh:Economics as a scienceregulationcapital controlsjel:F41money mercantilismfinancial globalization money mercantilism currency crises international reserves speculative attacks capital controls regulationReview of Economic and Business Studies
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