[PDF] The Efficiency Of Early Warning Indicators For Financial Crises eBook

Author : Jens Michael Rabe
Publisher : diplom.de
Page : 84 pages
File Size : 14,75 MB
Release : 2000-03-30
Category : Business & Economics
ISBN : 3832422552

GET BOOK

Inhaltsangabe:Abstract: The banking and currency crises of the last two decades inflicted substantial financial, economic, and social damage on the countries in which they originated. In this work, the efficiency of early warning indicators for these disastrous economic events is evaluated. An analysis of the traditional and recent literature on currency crises is performed in order to extract potential early warning indicators that are suggested by theory. Alongside others, these candidate indicators are tested in alternative empirical studies that are reviewed in this work. The results are mixed, but somewhat encouraging for further research in this field. Furthermore, the analysis is extended to a critique of systems of early warning indicators currently used by international institutions. Inhaltsverzeichnis:Table of Contents: 1.Introduction1 2.The Currency Crisis Literature as a Reference Point for the Identification of Early Warning Indicators4 2.1The Traditional Theory5 2.2Second Generation Models11 2.3A Cross-generation Framework Proposition19 2.4Early Warning Indicators as Suggested by Theory22 3.The Empirical Assessment of Early Warning Indicators24 3.1Univariate Indicators for Financial Crises24 3.1.1Cross-Country Regressions26 3.1.2Multivariate Probit Models35 3.1.3The Signals Approach40 3.2Composite Leading Indicators for Financial Crises48 4.A Critique of Early Warning Indicators Used in Practice53 5.Conclusion64 Appendix68 Bibliography69

Author : Morris Goldstein
Publisher : Peterson Institute
Page : 166 pages
File Size : 36,93 MB
Release : 2000
Category : Business & Economics
ISBN : 9780881322378

GET BOOK

This study reviews the literature on the origins of currency and banking crises. It presents empirical tests on the performance of alternative early-warning indicators for emerging-market economies. The book also identifies crisis-threshold values for early-warning indicators.

Author : Asian Development Bank
Publisher : Springer
Page : 164 pages
File Size : 35,16 MB
Release : 2005-02-15
Category : Business & Economics
ISBN : 0230501060

GET BOOK

Since the 1997 Asian financial crisis, East Asia has implemented a number of initiatives designed to strengthen monetary and financial cooperation, bolstering the region's resilience to economic and financial vulnerabilities. One such initiative is the ASEAN+3 Information Exchange and Policy Dialogue, which includes development of early warning systems (EWS) for financial crises. This book examines efforts to develop EWS models. Specifically, the book analyzes the current understanding of the causes of currency and banking crises, describes recent progress in developing and applying EWS models for currency and banking crises, reviews methodolgical issues, assesses the predictive power of EWS models and also highlights areas where further research is required to make these models more effective tools for policy analysis. The case studies apply both parametric and nonparametric approaches to EWS modleing using data from six East Asian countries.

Author : Hali J. Edison
Publisher :
Page : 86 pages
File Size : 35,60 MB
Release : 2000
Category : Financial crises
ISBN :

GET BOOK

The object of this paper is to develop an operational early warning system (EWS) that can detect financial crises. To achieve this goal the paper analyzes and extends the early warning system developed by Kaminsky, Lizondo, and Reinhart (1998) and Kaminsky and Reinhart (1999) that is based on the "signal" approach. This system monitors several indicators that tend to exhibit an unusual behavior in the periods preceding a crisis. When an indicator exceeds (or falls below) a threshold, then it is said to issue a "signal" that a currency crisis may occur within a given period. The model does a fairly good job of anticipating some of the crises in 1997/1998, but several weaknesses to the approach are identified. The paper also evaluates how this system can be applied to an individual country. On balance, the results in this paper are mixed, but the results suggest that an early warning system should be thought of as a useful diagnostic tool.

Author : Ms. Sally Chen
Publisher : International Monetary Fund
Page : 79 pages
File Size : 10,37 MB
Release : 2021-04-29
Category : Business & Economics
ISBN : 1513582305

GET BOOK

Can the upturns and downturns in financial variables serve as early warning indicators of banking crises? Using data from 59 advanced and emerging economies, we show that financial overheating can be detected in real time. Equity prices and output gap are the best leading indicators in advanced markets; in emerging markets, these are equity and property prices and credit gap. Moreover, aggregating this information flags financial crisis many years before the crisis. Lastly, we find that the length of financial cycles is of medium-term frequency, calling into question the longer frequency widely used in the estimation of countercyclical capital buffers.

Author : Mr.Abdul Abiad
Publisher : International Monetary Fund
Page : 61 pages
File Size : 17,89 MB
Release : 2003-02-01
Category : Business & Economics
ISBN : 1451845138

GET BOOK

Previous early-warning systems (EWSs) for currency crises have relied on models that require a priori dating of crises. This paper proposes an alternative EWS, based on a Markov-switching model, which identifies and characterizes crisis periods endogenously; this also allows the model to utilize information contained in exchange rate dynamics. The model is estimated using data for the period 1972-99 for the Asian crisis countries, taking a country-by-country approach. The model outperforms standard EWSs, both in signaling crises and reducing false alarms. Two lessons emerge. First, accounting for the dynamics of exchange rates is important. Second, different indicators matter for different countries, suggesting that the assumption of parameter constancy underlying panel estimates of EWSs may contribute to poor performance.

Author : Mr.Hyun Song Shin
Publisher : International Monetary Fund
Page : 16 pages
File Size : 25,49 MB
Release : 2013-12-20
Category : Business & Economics
ISBN : 1484320832

GET BOOK

This paper compares three types of early warning indicators of financial instability – those based on financial market prices, those based on normalized measures of total credit and those based on liabilities of financial intermediaries. Prices perform well as concurrent indicators of market conditions but are not suitable as early warning indicators. Total credit and liabilities convey similar information and perform better as early warning indicators, but liabilities are more transparent and the decomposition between core and non-core liabilities convey additional useful information.

Author : Magdalena Tomczynska
Publisher :
Page : 0 pages
File Size : 18,63 MB
Release : 2009
Category :
ISBN :

GET BOOK

Financial crises have become relatively frequent events since the beginning of the 1980s. They have taken three main forms: currency crises, banking crises, or both - so called twin crises. As the number of developed economies, developing countries, and economies in transition experienced severe financial crashes researchers are trying to propose a framework for systemic analyses. That is why attempts to advance the understanding of features leading to the outbreak of financial crisis as well as the reasons of vulnerability have become more and more important. In recent years a number of efforts have been undertaken to identify variables that act as early warning signals for crises. The purpose of this paper is to provide some perspective on the issue of early warning signals of vulnerability to currency crises. In particular, it is aimed at presenting and highlighting the main findings of theoretical literature in this area. An effective warning system should consider a broad variety of indicators, as currency crises seem to be usually associated with multiple economic and sometimes political problems. Indicators that have proven to be particularly useful in anticipating crises and received empirical support include the development of international reserves, real exchange rate, domestic credit, credit to the public sector, domestic inflation, and structure and financing of public debt. Other indicators that have found support are trade balance, export performance, money growth, M2/international reserves ratio, foreign interest rates, real GDP growth, and fiscal deficit. Many of the proposed leading indicators have been able to predict particular crises, however, only few have showed ability to do so consistently. Generally, economic models can be said to be more successful in predicting crises that erupt because of weak fundamentals, which make country vulnerable to adverse shocks. They are less likely in anticipating crises due to selffulfilling expectations or pure contagion effects. So far economists are only able to identify situations in which an economy could face the risk of a financial crisis. This is most because of the well-known fact that if we knew the crisis would have already occurred. Warning indicators seem to be unlikely to predict crises in precise way but their analyses can provide extended information about impending problems what enables to take preventive measures.

Author : Qaiser Munir
Publisher :
Page : 0 pages
File Size : 11,72 MB
Release : 2016
Category : BUSINESS & ECONOMICS
ISBN : 9781466694842

GET BOOK

Addresses the inequity of developed and developing nations from the bottom up through an exploration of current literature, specific case-studies, and data-based recommendations for new crisis indicators. It explores such topics as the Greek debt crisis, electronic banking, and financial crises in developing economies.