Similar Search Results

Kannan, Prakash; Köhler-Geib, Fritzi - International Monetary Fund (IMF) - 2009

in the contagion phenomenon. Not all crises, however, are contagious. This paper models a new channel of contagion where … the degree of anticipation of crises, through its impact on investor uncertainty, determines the occurrence of contagion … is empirically shown to have an independent effect beyond other contagion channels. …

Persistent link: https://www.econbiz.de/10008559279

Comparing Parametric and Non-parametric Early Warning Systems for Currency Crises in Emerging Market Economies

Comelli, Fabio - International Monetary Fund (IMF) - 2013

The purpose of this paper is to compare in-sample and out-of-sample performances of three parametric and non-parametric early warning systems (EWS) for currency crises in emerging market economies (EMs). The parametric EWS achieves superior out-of-sample results compared to the non-parametric...

Persistent link: https://www.econbiz.de/10010790354

Assessing Early Warning Systems; How Have they Worked in Practice?

Berg, Andrew; Borensztein, Eduardo; Pattillo, Catherine A. - International Monetary Fund (IMF) - 2004

Since 1999, the IMF's staff has been tracking several early-warning-system (EWS) models of currency crisis. The results have been mixed. One of the long-horizon models has performed well relative to pure guesswork and to available non-model-based forecasts, such as agency ratings and private...

Persistent link: https://www.econbiz.de/10005768990

Trade and Financial Contagion in Currency Crises

Salgado, Ranil; Ricci, Luca Antonio; Caramazza, Francesco - International Monetary Fund (IMF) - 2000

This paper investigates empirically the relevance of external, domestic, and financial weaknesses as well as trade and financial linkages in inducing financial crises for a sample of 61 emerging market and industrial countries. A panel probit estimation finds these economic indicators to be...

Persistent link: https://www.econbiz.de/10005769104

Early Warning Systems; A Survey and a Regime-Switching Approach

Abiad, Abdul - International Monetary Fund (IMF) - 2003

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...

Persistent link: https://www.econbiz.de/10005769232

Discriminating Contagion; An Alternative Explanation of Contagious Currency Crises in Emerging Markets

Ahluwalia, Pavan - International Monetary Fund (IMF) - 1999

, and data from the Mexican, Asian, and Russian crises to provide evidence of this discriminating contagion, after … controlling for alternative channels of contagion such as trade spillovers and financial linkages. …

Persistent link: https://www.econbiz.de/10005599208

Currency Crises in Developed and Emerging Market Economies; A Comparative Empirical Treatment

Fontaine, Thomson - International Monetary Fund (IMF) - 2005

This paper takes a step in empirically testing the implications of a number of theoretical models that attempt to highlight the dynamics behind currency crises. By focusing on countries with broadly disparate economic and political arrangements, the study attempts to determine the extent to...

Persistent link: https://www.econbiz.de/10005599757

Pure Contagion and Investors Shifting Risk Appetite; Analytical Issues and Empirical Evidence

Kumar, Manmohan S.; Persaud, Avinash - International Monetary Fund (IMF) - 2001

This paper discusses a "pure" form of financial contagion, unrelated to economic fundamentals - investors' shifting … contagion and domestic fundamentals as the immediate source of a crisis. Daily measures of risk appetite are computed and their …

Persistent link: https://www.econbiz.de/10005605241

What Drives Contagion; Trade Neighborhood, or Financial Links?

Valdés, Rodrigo O.; Hernández, Leonardo - International Monetary Fund (IMF) - 2001

This paper presents evidence on the relative importance of alternative contagion channels during the Thai, Russian, and … to explain almost all contagion episodes. However, when crises are measured by stock market returns, trade links and … neighborhood effects appear to be relevant contagion channels during the Thai and Brazilian crises, while financial competition …

Persistent link: https://www.econbiz.de/10005605301

Empirical Modeling of Contagion; A Review of Methodologies

Dungey, Mardi; Fry, Renee; Martin, Vance; … - International Monetary Fund (IMF) - 2004

The existing literature suggests a number of alternative methods to test for the presence of contagion during financial …

Persistent link: https://www.econbiz.de/10005825971