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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

The Fall of Bretton Woods: Which Geography Matters?

Ali, Leila; Lebreton, Marie - In: Economics Bulletin 33 (2013) 2, pp. 1396-1419

This paper analyses the spatial diffusion of the speculative attacks during the fall of the Bretton Woods System. First, we study the spatial heterogeneity of the relationship between speculative pressures and their determinants via a locally linear framework. Here, relationships were assumed to...

Persistent link: https://www.econbiz.de/10010835826

Managing Systemic Banking Crises

Quintyn, Marc; Hoelscher, David S. - International Monetary Fund (IMF) - 2003

Recent financial sector crises and their resolution have raised new issues and provided additional experiences to draw on in the future. Banking sector problems in Russia, Turkey, and a few Latin American countries occurred within the context of highly dollarized economies, high levels of...

Persistent link: https://www.econbiz.de/10005590869

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

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

Cross-Country Empirical Studies of Systemic Bank Distress: A Survey

Demirgüç-Kunt, Asli; Detragiache, Enrica - International Monetary Fund (IMF) - 2005

A rapidly growing empirical literature is studying the causes and consequences of bank fragility in present-day economies. The paper reviews the two basic methodologies adopted in cross-country empirical studies-the signals approach and the multivariate probability model-and their application to...

Persistent link: https://www.econbiz.de/10005826068

Managing Confidence in Emerging Market Bank Runs

Mody, Ashoka; Kim, Se-Jik - International Monetary Fund (IMF) - 2004

distressed banks create contagion. …

Persistent link: https://www.econbiz.de/10005263784

Managing Financial Crises; The Experience in East Asia

Lane, Timothy D.; Hamann, A. Javier; Schulze-Gattas, … - International Monetary Fund (IMF) - 2000

The Asian financial crisis of 1997-98 was one of the most dramatic economic events of recent times, which raised many questions regarding the appropriate policy response to financial crises. This paper reviews the experience of this crisis, focusing on the overall strategy of crisis management...

Persistent link: https://www.econbiz.de/10005263845