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Comparing Parametric and Non-parametric Early Warning Systems for Currency Crises in Emerging Market Economies

Comelli, Fabio - International Monetary Fund (IMF) - 2013

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/10010790354

Financial and Sovereign Debt Crises: Some Lessons Learned and Those Forgotten

Reinhart, Carmen; Rogoff, Kenneth - International Monetary Fund (IMF) - 2013

Even after one of the most severe multi-year crises on record in the advanced economies, the received wisdom in policy circles clings to the notion that high-income countries are completely different from their emerging market counterparts. The current phase of the official policy approach is...

Persistent link: https://www.econbiz.de/10010790367

Comparing the Performance of Logit and Probit Early Warning Systems for Currency Crises in Emerging Market Economies

Comelli, Fabio - International Monetary Fund (IMF) - 2014

experiencing a currency crisis, while high levels of credit to the private sector increase it. We find that the logit and probit …

Persistent link: https://www.econbiz.de/10010790388

Near-Coincident Indicators of Systemic Stress

Arsov, Ivailo; Canetti, Elie; Kodres, Laura E.; Mitra, … - International Monetary Fund (IMF) - 2013

The G-20 Data Gaps Initiative has called for the IMF to develop standard measures of tail risk, which we identify in this paper with systemic risk. To understand the conditions under which tail risk is present, it is first necessary to develop a measure of what constitutes a systemic stress, or...

Persistent link: https://www.econbiz.de/10010790432

Fiscal Policy for the Crisis

Spilimbergo, Antonio; Symansky, Steven A.; Cottarelli, Carlo - International Monetary Fund (IMF) - 2009

The current crisis calls for two main sets of policy measures. First, measures to repair the financial system. Second, measures to increase demand and restore confidence. While some of these measures overlap, the focus of this note is on the second set of policies, and more specifically, given...

Persistent link: https://www.econbiz.de/10010790473

ON THE VOLATILITY AS A DETERMINANT OF THE FINANCIAL CRISIS

PALAZZESI, Elettra; COVELLI, Andrea; CASCIELLO, Giovanni - In: Curentul Juridic, The Juridical Current, Le Courant … 57 (2014) June, pp. 101-109

The international financial system has achieved a radical change in the last twenty years. From the so called Commodity Exchange, which is recognized as the origin of the financial system and even of the derivative one by the economic literature since 1500, to Black & Scholes (1973a) and...

Persistent link: https://www.econbiz.de/10010790574

Credit Rating As a Factor of Stability in the Global Capital Market

Musabegovic, Ismail; Raicevic, Ivana; Majstorovic, Andrea - In: Economic Analysis 47 (2014), pp. 19-31

Credit rating has an outstanding importance on the capital market. Opinions and assessments of rating agencies help us … dollars of rated bonds and other securities with the fixed income. The contribution of the credit agencies to the market … components of the credit risk. Also, in order to ensure a reliable framework for making investment decisions, the rating agencies …

Persistent link: https://www.econbiz.de/10010790607

PRICE DISCOVERY IN THE ITALIAN SOVEREIGN BONDS MARKET: THE ROLE OF ORDER FLOW

Girardi, Alessandro; Impenna, Claudio - Dipartimento di Economia e Finanza (DEF), Libera … - 2013

This paper analyses the price discovery process and the informational role of trading in the Italian wholesale secondary markets for Treasury bonds: the business-to-business (B2B), interdealer and quote driven MTS cash and the business-to-consumer (B2C), order driven BondVision trading venues....

Persistent link: https://www.econbiz.de/10010791303

Financial Markets, BanksÕ Cost of Funding, and FirmsÕ Decisions: Lessons from Two Crises

Balduzzi, Pierluigi; Brancati, Emanuele; Schiantarelli, … - Dipartimento di Economia e Finanza (DEF), Libera … - 2014

We test whether financial fluctuations affect firmsÕ decisions through their impact on banksÕ cost of funding. We exploit two shocks to Italian banksÕ CDS spreads and equity valuations: the 2007Ð 2009 financial crisis and the 2010Ð2012 sovereign debt crisis. Using newly available data...

Persistent link: https://www.econbiz.de/10010791316

Distance-to-default measures and determinants for systemically important financial institutions

Schenck, Natalya A. - In: Journal of Financial Regulation and Compliance 22 (2014), pp. 159-172

Purpose – This study aims to compare two distance-to-default methods, data-transformed maximum likelihood estimation and “naïve”, that are suitable for financial institutions. The links between these measures and asset size, Tier 1 and Tier 2 capital ratios, non-performing assets and...

Persistent link: https://www.econbiz.de/10010795436