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Are emerging market currency crises predictable? A test

Peltonen, Tuomas A. - 2006

This paper analyzes the predictability of emerging market currency crises by comparing the often used probit model to a new method, namely a multi-layer perceptron artificial neural network (ANN) model. According to the results, both models were able to signal currency crises reasonably well...

Persistent link: https://www.econbiz.de/10011604617

Macro-financial vulnerabilities and future financial stress: assessing systemic risks and predicting systemic events

Lo Duca, Marco; Peltonen, Tuomas A. - 2011

This paper develops a framework for assessing systemic risks and for predicting (out-of-sample) systemic events, i.e. periods of extreme financial instability with potential real costs. We test the ability of a wide range of “stand alone” and composite indicators in predicting systemic...

Persistent link: https://www.econbiz.de/10011605357

Imports and profitability in the euro area manufacturing sector: the role of emerging market economies

Peltonen, Tuomas A.; Skala, Martin; Santos Rivera, Alvaro; … - 2008

The paper analyses the impact of import penetration on firms’ profitability in 15 manufacturing industries in 10 euro … competition from emerging market economies has had an overall negative impact on companies’ profitability in the euro area … profitability. Finally, we find asymmetric effects on profitability across euro area countries and sectors. …

Persistent link: https://www.econbiz.de/10011604964

Exchange rate pass-through in the global economy: the role of emerging market economies

Bussière, Matthieu; Peltonen, Tuomas A. - 2008

This paper estimates export and import price equations for 41 countries –including 28 emerging market economies. Further, it relates the estimated elasticities to structural factors and tests for statistical breaks in the relation between trade prices and exchange rates. Results indicate that...

Persistent link: https://www.econbiz.de/10011604997

Has emerging Asia decoupled? An analysis of production and trade linkages using the Asian international input-output table

Pula, Gabor; Peltonen, Tuomas A. - 2009

Due to the emergence of global production networks, trade statistics have became less accurate in describing the dependence of emerging Asia on external demand. This paper analyses, using an update of the Asian International Input-Output (AIO) table, the interdependence of emerging Asian...

Persistent link: https://www.econbiz.de/10011605039

Wealth effects in emerging market economies

Peltonen, Tuomas A.; Sousa, Ricardo M.; Vansteenkiste, … - 2009

We build a panel of 14 emerging economies to estimate the magnitude of housing, stock market, and money wealth effects on consumption. Using modern panel data econometric techniques and quarterly data for the period 1990:1-2008:2, we show that: (i) wealth effects are statistically significant...

Persistent link: https://www.econbiz.de/10011605046

Productivity shocks and real exchange rate: a reappraisal

Peltonen, Tuomas A.; Sager, Michael - 2009

We reappraise the relationship between productivity and equilibrium real exchange rates using a panel estimation …

Persistent link: https://www.econbiz.de/10011605092