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Forecasts in Times of Crises
Eicher, Theo - 2018
Financial crises pose unique challenges for forecast accuracy. Using the IMF's Monitoring of Fund Arrangement (MONA … informational value as they consistently outperform naive forecast approaches. However, we also document that there is room for … improvement: two thirds of the key macroeconomic variables that we examine are forecast inefficiently and 6 variables (growth of …
Persistent link: https://www.econbiz.de/10012907940
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The long-term distribution of expected inflation in the euro area : what has changed since the great recession?
Dovern, Jonas; Kenny, Geoff - Task Force on Low Inflation (LIFT) - 2017
This paper analyses the distribution of long-term inflation expectations in the euro area using individual density forecasts from the ECB Survey of Professional Forecasters. We exploit the panel dimension in this dataset to examine whether this distribution became less stable following the Great...
Persistent link: https://www.econbiz.de/10011636332
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Political crises and risk of financial contagion in developing countries : evidence from Africa
Asongu, Simplice A. - 2011
The recent waves of political crises in Africa and the Middle East have inspired the debate over how political instability could pose a risk of financial contagion to emerging countries. With retrospect to the Kenyan political crisis, our findings suggest stock markets in Lebanon, Mauritius were...
Persistent link: https://www.econbiz.de/10011410547
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Determinants of financial stress in emerging market economies
Park, Cyn-Young; Mercado, Rogelio V. <Jr.> - 2013
The global financial crisis of 2008–2009 illustrates how financial turmoil in advanced economies could trigger severe financial stress in emerging markets. Previous studies dealing with financial crises and contagion show the linkages through which financial stress are transmitted from...
Persistent link: https://www.econbiz.de/10009781151
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International capital flow reversals
Cavallo, Eduardo A. - 2019
Sudden stops in capital flows are a form of financial whiplash that creates instability and crises in the affected economies. Sudden stops in net capital flows trigger current account reversals as countries that were borrowing on net from the rest of the world before the stop can no longer...
Persistent link: https://www.econbiz.de/10012052156
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Contagion of the subprime financial crisis on frontier stock markets : a copula analysis
Mohti, Wahbeeah; Dionísio, Andreia Teixeira Marques; … - In: Economies : open access journal 7 (2019) 1/15, pp. 1-14
This study assesses contagion from the USA subprime financial crisis on a large set of frontier stock markets. Copula models were used to investigate the structure of dependence between frontier markets and the USA, before and after the occurrence of the crisis. Statistically significant...
Persistent link: https://www.econbiz.de/10012020525
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The coming US interest rate tightening cycle : smooth sailing or stormy waters?
Arteta, Carlos Ó.; Kose, M. Ayhan; Ohnsorge, Franziska; … - 2015
The U.S. Federal Reserve (Fed) is expected to start raising policy interest rates in the near term and thus commence a tightening cycle for the first time in nearly a decade. The taper tantrum episode of May-June 2013 is a reminder that even a long anticipated change in Fed policies can trigger...
Persistent link: https://www.econbiz.de/10011389408
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Correlation analysis of financial contagion : what one should know before running a test
Corsetti, Giancarlo; Pericoli, Marcello; Sbracia, Massimo - 2001
This paper builds a general test of contagion in financial markets based on bivariate correlation analysis - a test that can be interpreted as an extension of the normal correlation theorem. Contagion is defined as a structural break in the data generating process of rates of return. Using a...
Persistent link: https://www.econbiz.de/10011609589
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Domestic antidotes to sudden stops
Cavallo, Eduardo A.; Izquierdo, Alejandro; León-Díaz, … - 2017
Sudden Stops in net capital flows can be prevented when the actions of domestic investors offset a reduction in foreign lending. This paper presents evidence that while sudden stops in gross inflows—i.e., a tightening of the external borrowing constraint—are associated with global conditions...
Persistent link: https://www.econbiz.de/10011784126
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Contagion risks in emerging stock markets : new evidence from Asia and Latin America
Thi Bich Ngoc Tran - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-20
The purpose of this study is to investigate whether contagion actually occurred during three well-known financial crises in 1990s and 2000s: Mexican “Tequila” crisis in 1994, Asian “flu” crisis in 1997 and US subprime crisis in 2007. We apply dynamic conditional correlation models...
Persistent link: https://www.econbiz.de/10011960394