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Author: Klaus-Peter Hellwig Publisher: International Monetary Fund ISBN: 1513573586 Category : Business & Economics Languages : en Pages : 66
Book Description
In this paper I assess the ability of econometric and machine learning techniques to predict fiscal crises out of sample. I show that the econometric approaches used in many policy applications cannot outperform a simple heuristic rule of thumb. Machine learning techniques (elastic net, random forest, gradient boosted trees) deliver significant improvements in accuracy. Performance of machine learning techniques improves further, particularly for developing countries, when I expand the set of potential predictors and make use of algorithmic selection techniques instead of relying on a small set of variables deemed important by the literature. There is considerable agreement across learning algorithms in the set of selected predictors: Results confirm the importance of external sector stock and flow variables found in the literature but also point to demographics and the quality of governance as important predictors of fiscal crises. Fiscal variables appear to have less predictive value, and public debt matters only to the extent that it is owed to external creditors.
Author: Klaus-Peter Hellwig Publisher: International Monetary Fund ISBN: 1513573586 Category : Business & Economics Languages : en Pages : 66
Book Description
In this paper I assess the ability of econometric and machine learning techniques to predict fiscal crises out of sample. I show that the econometric approaches used in many policy applications cannot outperform a simple heuristic rule of thumb. Machine learning techniques (elastic net, random forest, gradient boosted trees) deliver significant improvements in accuracy. Performance of machine learning techniques improves further, particularly for developing countries, when I expand the set of potential predictors and make use of algorithmic selection techniques instead of relying on a small set of variables deemed important by the literature. There is considerable agreement across learning algorithms in the set of selected predictors: Results confirm the importance of external sector stock and flow variables found in the literature but also point to demographics and the quality of governance as important predictors of fiscal crises. Fiscal variables appear to have less predictive value, and public debt matters only to the extent that it is owed to external creditors.
Author: Ms.Svetlana Cerovic Publisher: International Monetary Fund ISBN: 1484372913 Category : Business & Economics Languages : en Pages : 42
Book Description
This paper identifies leading indicators of fiscal crises based on a large sample of countries at different stages of development over 1970-2015. Our results are robust to different methodologies and sample periods. Previous literature on early warning sistems (EWS) for fiscal crises is scarce and based on small samples of advanced and emerging markets, raising doubts about the robustness of the results. Using a larger sample, our analysis shows that both nonfiscal (external and internal imbalances) and fiscal variables help predict crises among advanced and emerging economies. Our models performed well in out-of-sample forecasting and in predicting the most recent crises, a weakness of EWS in general. We also build EWS for low income countries, which had been overlooked in the literature.
Author: Svetlana Cerovic Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
This paper identifies leading indicators of fiscal crises based on a large sample of countries at different stages of development over 1970-2015. Our results are robust to different methodologies and sample periods. Previous literature on early warning sistems (EWS) for fiscal crises is scarce and based on small samples of advanced and emerging markets, raising doubts about the robustness of the results. Using a larger sample, our analysis shows that both nonfiscal (external and internal imbalances) and fiscal variables help predict crises among advanced and emerging economies. Our models performed well in out-of-sample forecasting and in predicting the most recent crises, a weakness of EWS in general. We also build EWS for low income countries, which had been overlooked in the literature.
Author: Mr.Stijn Claessens Publisher: International Monetary Fund ISBN: 1475561008 Category : Business & Economics Languages : en Pages : 66
Book Description
This paper reviews the literature on financial crises focusing on three specific aspects. First, what are the main factors explaining financial crises? Since many theories on the sources of financial crises highlight the importance of sharp fluctuations in asset and credit markets, the paper briefly reviews theoretical and empirical studies on developments in these markets around financial crises. Second, what are the major types of financial crises? The paper focuses on the main theoretical and empirical explanations of four types of financial crises—currency crises, sudden stops, debt crises, and banking crises—and presents a survey of the literature that attempts to identify these episodes. Third, what are the real and financial sector implications of crises? The paper briefly reviews the short- and medium-run implications of crises for the real economy and financial sector. It concludes with a summary of the main lessons from the literature and future research directions.
Author: Qaiser Munir Publisher: ISBN: 9781466694842 Category : BUSINESS & ECONOMICS Languages : en Pages : 0
Book Description
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.
Author: Paolo Manasse Publisher: International Monetary Fund ISBN: 1451875258 Category : Business & Economics Languages : en Pages : 42
Book Description
We develop an early-warning model of sovereign debt crises. A country is defined to be in a debt crisis if it is classified as being in default by Standard & Poor's, or if it has access to nonconcessional IMF financing in excess of 100 percent of quota. By means of logit and binary recursive tree analysis, we identify macroeconomic variables reflecting solvency and liquidity factors that predict a debt-crisis episode one year in advance. The logit model predicts 74 percent of all crises entries while sending few false alarms, and the recursive tree 89 percent while sending more false alarms.
Author: Mrs.Kerstin Gerling Publisher: International Monetary Fund ISBN: 1475592159 Category : Business & Economics Languages : en Pages : 43
Book Description
A key objective of fiscal policy is to maintain the sustainability of public finances and avoid crises. Remarkably, there is very limited analysis on fiscal crises. This paper presents a new database of fiscal crises covering different country groups, including low-income developing countries (LIDCs) that have been mostly ignored in the past. Countries faced on average two crises since 1970, with the highest frequency in LIDCs and lowest in advanced economies. The data sheds some light on policies and economic dynamics around crises. LIDCs, which are usually seen as more vulnerable to shocks, appear to suffer the least in crisis periods. Surprisingly, advanced economies face greater turbulence (growth declines sharply in the first two years of the crisis), with half of them experiencing economic contractions. Fiscal policy is usually procyclical as countries curtail expenditure growth when economic activity weakens. We also find that the decline in economic growth is magnified if accompanied by a financial crisis.
Author: Ms.Catherine A. Pattillo Publisher: International Monetary Fund ISBN: 9781557758842 Category : Business & Economics Languages : en Pages : 22
Book Description
The integration of financial markets around the world over the past decade has posed new challenges for policymakers. The speed with which money can be switched in and out of currencies and countries has increased with the efficiency of global communications, considerably shortening the time policymakers have to respond to emerging crises. This pamphlet takes alook at attempts by economists to predict crises by developing early warning systems to signal when trouble may be brewing in currency markets and banking systems.
Author: Mr.Andrew J Tiffin Publisher: International Monetary Fund ISBN: 1513519514 Category : Computers Languages : en Pages : 30
Book Description
Machine learning tools are well known for their success in prediction. But prediction is not causation, and causal discovery is at the core of most questions concerning economic policy. Recently, however, the literature has focused more on issues of causality. This paper gently introduces some leading work in this area, using a concrete example—assessing the impact of a hypothetical banking crisis on a country’s growth. By enabling consideration of a rich set of potential nonlinearities, and by allowing individually-tailored policy assessments, machine learning can provide an invaluable complement to the skill set of economists within the Fund and beyond.
Author: Klaus-Peter Hellwig
Author: Klaus-Peter Hellwig
Author: Ms.Svetlana Cerovic
Author: Svetlana Cerovic
Author: Betty Carolyn Daniel
Author: Mr.Stijn Claessens
Author: Qaiser Munir
Author: Paolo Manasse
Author: Mrs.Kerstin Gerling
Author: Ms.Catherine A. Pattillo
Author: Mr.Andrew J Tiffin