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We compare how logit (fixed effects) and probit early warning systems (EWS) predict insample and out-of-sample currency crises in emerging markets (EMs). We look at episodes of currency crises that took place in 29 EMs between January 1995 and December 2012. Stronger real GDP growth rates and...
Persistent link: https://www.econbiz.de/10014411253
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/10014395159
We estimate sovereign bond spreads of 28 emerging economies over the period January 1998-December 2011 and test the ability of the model in generating accurate in-sample predictions for emerging economies bond spreads. The impact and significance of country-specific and global explanatory...
Persistent link: https://www.econbiz.de/10014395702
We estimate sovereign bond spreads of 28 emerging economies over the period January 1998-December 2011 and test the ability of the model in generating accurate in-sample predictions for emerging economies bond spreads. The impact and significance of country-specific and global explanatory...
Persistent link: https://www.econbiz.de/10009621639
Persistent link: https://www.econbiz.de/10009757323
Persistent link: https://www.econbiz.de/10010360011
We identify episodes of sudden stops in emerging economies and estimate the probability to observe them. Sudden stops are more likely when global growth falters, risk aversion in financial markets rises, and vulnerabilities in the external and financial sectors increase. However, the...
Persistent link: https://www.econbiz.de/10011374759
Although credit rating agencies have gradually moved away from a policy of never rating a private borrower above the sovereign (the ""sovereign ceiling"") it appears that sovereign ratings remain a significant determinant of the credit rating assigned to corporations. We examine this link using...
Persistent link: https://www.econbiz.de/10014401266
This paper compares the impact of shocks to U.S. interest rates and emerging market bond spreads on domestic interest rates and exchange rates across several emerging market economies with different exchange rate regimes. Consistent with conventional priors, the results indicate that interest...
Persistent link: https://www.econbiz.de/10014401887
This paper explores the behavior of emerging market mutual funds using a novel database covering the holdings of individual funds over the period January 1996 to March 1999. An examination of individual crises shows that, on average, funds withdrew money one month prior to the events. The degree...
Persistent link: https://www.econbiz.de/10014403436