Download or read book Early Warning Systems written by Mr.Abdul Abiad and published by International Monetary Fund. This book was released on 2003-02-01 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: Previous early-warning systems (EWSs) for currency crises have relied on models that require a priori dating of crises. This paper proposes an alternative EWS, based on a Markov-switching model, which identifies and characterizes crisis periods endogenously; this also allows the model to utilize information contained in exchange rate dynamics. The model is estimated using data for the period 1972-99 for the Asian crisis countries, taking a country-by-country approach. The model outperforms standard EWSs, both in signaling crises and reducing false alarms. Two lessons emerge. First, accounting for the dynamics of exchange rates is important. Second, different indicators matter for different countries, suggesting that the assumption of parameter constancy underlying panel estimates of EWSs may contribute to poor performance.

Download or read book Early Warning Systems written by Abdul G. Abiad and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Previous early-warning systems (EWSs) for currency crises have relied on models that require a priori dating of crises. This paper proposes an alternative EWS, based on a Markov-switching model, which identifies and characterizes crisis periods endogenously; this also allows the model to utilize information contained in exchange rate dynamics. The model is estimated using data for the period 1972-99 for the Asian crisis countries, taking a country-by-country approach. The model outperforms standard EWSs, both in signaling crises and reducing false alarms. Two lessons emerge. First, accounting for the dynamics of exchange rates is important. Second, different indicators matter for different countries, suggesting that the assumption of parameter constancy underlying panel estimates of EWSs may contribute to poor performance.

Download or read book Early Warning Systems for Financial Crises written by Asian Development Bank and published by Springer. This book was released on 2005-02-15 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the 1997 Asian financial crisis, East Asia has implemented a number of initiatives designed to strengthen monetary and financial cooperation, bolstering the region's resilience to economic and financial vulnerabilities. One such initiative is the ASEAN+3 Information Exchange and Policy Dialogue, which includes development of early warning systems (EWS) for financial crises. This book examines efforts to develop EWS models. Specifically, the book analyzes the current understanding of the causes of currency and banking crises, describes recent progress in developing and applying EWS models for currency and banking crises, reviews methodolgical issues, assesses the predictive power of EWS models and also highlights areas where further research is required to make these models more effective tools for policy analysis. The case studies apply both parametric and nonparametric approaches to EWS modleing using data from six East Asian countries.

Download or read book Assessing Financial Vulnerability written by Morris Goldstein and published by Peterson Institute. This book was released on 2000 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Censorship Surveillance and Privacy Concepts Methodologies Tools and Applications written by Management Association, Information Resources and published by IGI Global. This book was released on 2018-10-05 with total page 2215 pages. Available in PDF, EPUB and Kindle. Book excerpt: The censorship and surveillance of individuals, societies, and countries have been a long-debated ethical and moral issue. In consequence, it is vital to explore this controversial topic from all angles. Censorship, Surveillance, and Privacy: Concepts, Methodologies, Tools, and Applications is a vital reference source on the social, moral, religious, and political aspects of censorship and surveillance. It also explores the techniques of technologically supported censorship and surveillance. Highlighting a range of topics such as political censorship, propaganda, and information privacy, this multi-volume book is geared towards government officials, leaders, professionals, policymakers, media specialists, academicians, and researchers interested in the various facets of censorship and surveillance.

Download or read book Financial Crises Explanations Types and Implications written by Mr.Stijn Claessens and published by International Monetary Fund. This book was released on 2013-01-30 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews the literature on financial crises focusing on three specific aspects. First, what are the main factors explaining financial crises? Since many theories on the sources of financial crises highlight the importance of sharp fluctuations in asset and credit markets, the paper briefly reviews theoretical and empirical studies on developments in these markets around financial crises. Second, what are the major types of financial crises? The paper focuses on the main theoretical and empirical explanations of four types of financial crises—currency crises, sudden stops, debt crises, and banking crises—and presents a survey of the literature that attempts to identify these episodes. Third, what are the real and financial sector implications of crises? The paper briefly reviews the short- and medium-run implications of crises for the real economy and financial sector. It concludes with a summary of the main lessons from the literature and future research directions.

Download or read book Comparing Parametric and Non parametric Early Warning Systems for Currency Crises in Emerging Market Economies written by Mr.Fabio Comelli and published by International Monetary Fund. This book was released on 2013-05-30 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 EWS, as the total misclassification error of the former is lower than that of the latter. In addition, we find that the performances of the parametric and non-parametric EWS do not improve if the policymaker becomes more prudent. From a policy perspective, the policymaker faces the standard trade-off when using EWS. Greater prudence allows the policymaker to correctly call more crisis episodes, but this comes at the cost of issuing more false alarms. The benefit of correctly calling more currency crises needs to be traded off against the cost of issuing more false alarms and of implementing corrective macroeconomic policies prematurely.

Download or read book Comparing the Performance of Logit and Probit Early Warning Systems for Currency Crises in Emerging Market Economies written by Mr.Fabio Comelli and published by International Monetary Fund. This book was released on 2014-04-17 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 higher net foreign assets significantly reduce the probability of experiencing a currency crisis, while high levels of credit to the private sector increase it. We find that the logit and probit EWS out-of-sample performances are broadly similar, and that the EWS performance can be very sensitive both to the size of the estimation sample, and to the crisis definition employed. For macroeconomic policy purposes, we conclude that a currency crisis definition identifying more rather than less crisis episodes should be used, even if this may lead to the risk of issuing false alarms.

Download or read book Speculative Attacks and Currency Crises written by Ms.Inci Ötker and published by International Monetary Fund. This book was released on 1995-11-01 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper estimates a speculative attack model of currency crises in order to identify the role of economic fundamentals and any early warning signals of a potential currency crisis. The data from the Mexican economy was used to illustrate the model. Based on the results, a deterioration in fundamentals appears to have generated high one-step-ahead probabilities for the regime changes during the sample period 1982-1994. Particularly, increases in inflation differentials, appreciations of the real exchange rate, foreign reserve losses, expansionary monetary and fiscal policies, and increases in the share of short-term foreign currency debt appear to have contributed to the market pressures and regime changes in that period.

Download or read book Global Waves of Debt written by M. Ayhan Kose and published by World Bank Publications. This book was released on 2021-03-03 with total page 403 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global economy has experienced four waves of rapid debt accumulation over the past 50 years. The first three debt waves ended with financial crises in many emerging market and developing economies. During the current wave, which started in 2010, the increase in debt in these economies has already been larger, faster, and broader-based than in the previous three waves. Current low interest rates mitigate some of the risks associated with high debt. However, emerging market and developing economies are also confronted by weak growth prospects, mounting vulnerabilities, and elevated global risks. A menu of policy options is available to reduce the likelihood that the current debt wave will end in crisis and, if crises do take place, will alleviate their impact.

Download or read book Capital Account Liberalization written by Mr.Giovanni Dell'Ariccia and published by International Monetary Fund. This book was released on 1998-09-30 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt: Capital account liberalization - orderly, properly sequence, and befitting the individual circumstances of countries- is an inevitable step for all countries wishing to realize the benefits of the globalized economy. This paper reviews the theories behind capital account liberalization and examines the dangers associated with free capital flows. The authors conclude that the dangers can be limited through a combination of sound macroeconomic and prudential policies.

Download or read book Hidden Markov Models in Finance written by Rogemar S. Mamon and published by Springer Science & Business Media. This book was released on 2007-04-26 with total page 203 pages. Available in PDF, EPUB and Kindle. Book excerpt: A number of methodologies have been employed to provide decision making solutions globalized markets. Hidden Markov Models in Finance offers the first systematic application of these methods to specialized financial problems: option pricing, credit risk modeling, volatility estimation and more. The book provides tools for sorting through turbulence, volatility, emotion, chaotic events – the random "noise" of financial markets – to analyze core components.

Download or read book Empirical Finance written by Shigeyuki Hamori and published by MDPI. This book was released on 2019-03-25 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is no denying the role of empirical research in finance and the remarkable progress of empirical techniques in this research field. This Special Issue focuses on the broad topic of “Empirical Finance” and includes novel empirical research associated with financial data. One example includes the application of novel empirical techniques, such as machine learning, data mining, wavelet transform, copula analysis, and TV-VAR, to financial data. The Special Issue includes contributions on empirical finance, such as algorithmic trading, market efficiency, market microstructure, portfolio theory and asset allocation, asset pricing models, liquidity risk premium, currency crisis, return predictability, and volatility modeling.

Download or read book Predicting Fiscal Crises A Machine Learning Approach written by Klaus-Peter Hellwig and published by International Monetary Fund. This book was released on 2021-05-27 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper I assess the ability of econometric and machine learning techniques to predict fiscal crises out of sample. I show that the econometric approaches used in many policy applications cannot outperform a simple heuristic rule of thumb. Machine learning techniques (elastic net, random forest, gradient boosted trees) deliver significant improvements in accuracy. Performance of machine learning techniques improves further, particularly for developing countries, when I expand the set of potential predictors and make use of algorithmic selection techniques instead of relying on a small set of variables deemed important by the literature. There is considerable agreement across learning algorithms in the set of selected predictors: Results confirm the importance of external sector stock and flow variables found in the literature but also point to demographics and the quality of governance as important predictors of fiscal crises. Fiscal variables appear to have less predictive value, and public debt matters only to the extent that it is owed to external creditors.

Download or read book Dissertation Abstracts International written by and published by . This book was released on 2007 with total page 614 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Asia Pacific Financial Markets written by Suk-Joong Kim and published by Elsevier. This book was released on 2007-12-12 with total page 537 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume of "International Finance Review" focuses on the Asia-Pacific financial markets. A total of 22 original papers, not published elsewhere, have been selected from a competitive field. These papers utilize a variety of methods, including theoretical, empirical and qualitative to highlight a range of issues across the region. Several papers offer combinations of these different categories and among the empirical papers, there are a wide variety of datasets analyzed. While China does play a significant part in the analysis of five of the papers in this volume (this is to be expected given its importance in the region), a host of other countries are also considered. This ensures the volume is truly international in its scope. These papers each serve to contribute to the knowledge on a particular issue related to the financial markets within this region and for this volume, three main issues have been identified: integration, innovation and challenges. Articles are contributed by experts in their fields. It is truly international in scope.

Download or read book Currency Crises written by Paul Krugman and published by University of Chicago Press. This book was released on 2007-12-01 with total page 367 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is no universally accepted definition of a currency crisis, but most would agree that they all involve one key element: investors fleeing a currency en masse out of fear that it might be devalued, in turn fueling the very devaluation they anticipated. Although such crises—the Latin American debt crisis of the 1980s, the speculations on European currencies in the early 1990s, and the ensuing Mexican, South American, and Asian crises—have played a central role in world affairs and continue to occur at an alarming rate, many questions about their causes and effects remain to be answered. In this wide-ranging volume, some of the best minds in economics focus on the historical and theoretical aspects of currency crises to investigate three fundamental issues: What drives currency crises? How should government behavior be modeled? And what are the actual consequences to the real economy? Reflecting the latest thinking on the subject, this offering from the NBER will serve as a useful basis for further debate on the theory and practice of speculative attacks, as well as a valuable resource as new crises loom.