Author: Mathias DrehmannPublisher:
ISBN:
Category : Financial crises
Languages : en
Pages : 36
Book Description
Evaluating Early Warning Indicators of Banking Crises
Author: Mathias DrehmannPublisher:
ISBN:
Category : Financial crises
Languages : en
Pages : 36
Book Description
Assessing Financial Vulnerability
Author: Morris GoldsteinPublisher: Peterson Institute
ISBN: 9780881322378
Category : Business & Economics
Languages : en
Pages : 166
Book Description
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.
Financial Cycles – Early Warning Indicators of Banking Crises?
Author: Ms. Sally ChenPublisher: International Monetary Fund
ISBN: 1513582305
Category : Business & Economics
Languages : en
Pages : 79
Book Description
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.
The efficiency of early warning indicators for financial crises
Author: Jens Michael RabePublisher: diplom.de
ISBN: 3832422552
Category : Business & Economics
Languages : en
Pages : 84
Book Description
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
Early Warning Indicators of Banking Crises
Author: Iñaki AldasoroPublisher:
ISBN:
Category :
Languages : en
Pages : 17
Book Description
Household and international debt (cross-border or in foreign currency) are a potential source of vulnerabilities that could eventually lead to banking crises. We explore this issue formally by assessing the performance of these debt categories as early warning indicators (EWIs) for systemic banking crises. We find that they do contain useful information. In fact, over the more recent subsample, for household and cross-border debt indicators the information is similar to that of the more commonly used aggregate credit variables regularly monitored by the BIS. Confirming previous work, combining these indicators with property prices improves performance. An analysis of current global conditions based on this richer information set points to the build-up of vulnerabilities in several countries.
Evaluationg Early Warning Indicators of Banking Crises
Author: Mathias DrehmannCurrency and Banking Crises
Author: Graciela Laura KaminskyPublisher: International Monetary Fund
ISBN: 1451858930
Category : Business & Economics
Languages : en
Pages : 39
Book Description
The abruptness and virulence of the 1997 Asian crises have led many to claim that these crises are of a new breed and were thus unforecastable. This paper examines 102 financial crises in 20 countries and concludes that the Asian crises are not of a new variety. Overall, the 1997 Asian crises, as well as previous crises elsewhere, occur when economies are in distress, making the degree of fragility of the economy a useful indicator of future crises. Based on this idea, the paper proposes different composite leading indicators of crises, evaluated in terms of accuracy both in-sample and out-of-sample.
Early Warning Indicators of Banking Sector Distress
Author: Michael M. HutchisonProcyclicality and the Search for Early Warning Indicators
Author: Mr.Hyun Song ShinPublisher: International Monetary Fund
ISBN: 1484320832
Category : Business & Economics
Languages : en
Pages : 16
Book Description
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.
Do Indicators of Financial Crises Work?
Author: Hali J. EdisonPublisher:
ISBN:
Category : Financial crises
Languages : en
Pages : 0
Book Description
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.