Financial Cycles Early Warning Indicators Of Banking Crises

Author : Ms. Sally Chen,Katsiaryna Svirydzenka
Publisher : International Monetary Fund
Page : 79 pages
File Size : 41,6 Mb
Release : 2021-04-29
Category : Business & Economics
ISBN : 9781513582306

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Financial Cycles – Early Warning Indicators of Banking Crises? by Ms. Sally Chen,Katsiaryna Svirydzenka Pdf

Can the upturns and downturns in financial variables serve as early warning indicators of banking crises? Using data from 59 advanced and emerging economies, we show that financial overheating can be detected in real time. Equity prices and output gap are the best leading indicators in advanced markets; in emerging markets, these are equity and property prices and credit gap. Moreover, aggregating this information flags financial crisis many years before the crisis. Lastly, we find that the length of financial cycles is of medium-term frequency, calling into question the longer frequency widely used in the estimation of countercyclical capital buffers.

Author : Morris Goldstein,Graciela Laura Kaminsky,Carmen M. Reinhart
Publisher : Peterson Institute
Page : 166 pages
File Size : 45,9 Mb
Release : 2000
Category : Business & Economics
ISBN : 0881322377

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Assessing Financial Vulnerability by Morris Goldstein,Graciela Laura Kaminsky,Carmen M. Reinhart Pdf

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.

Author : Asian Development Bank
Publisher : Springer
Page : 151 pages
File Size : 43,5 Mb
Release : 2005-02-15
Category : Business & Economics
ISBN : 9780230501065

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Early Warning Systems for Financial Crises by Asian Development Bank Pdf

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.

Author : Graciela Laura Kaminsky
Publisher : International Monetary Fund
Page : 39 pages
File Size : 51,5 Mb
Release : 1999-12-01
Category : Business & Economics
ISBN : 9781451858938

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Currency and Banking Crises by Graciela Laura Kaminsky Pdf

The abruptness and virulence of the 1997 Asian crises have led many to claim that these crises are of a new breed and were thus unforecastable. This paper examines 102 financial crises in 20 countries and concludes that the Asian crises are not of a new variety. Overall, the 1997 Asian crises, as well as previous crises elsewhere, occur when economies are in distress, making the degree of fragility of the economy a useful indicator of future crises. Based on this idea, the paper proposes different composite leading indicators of crises, evaluated in terms of accuracy both in-sample and out-of-sample.

Author : Mr.Hyun Song Shin
Publisher : International Monetary Fund
Page : 16 pages
File Size : 41,6 Mb
Release : 2013-12-20
Category : Business & Economics
ISBN : 9781484320839

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Procyclicality and the Search for Early Warning Indicators by Mr.Hyun Song Shin Pdf

This paper compares three types of early warning indicators of financial instability – those based on financial market prices, those based on normalized measures of total credit and those based on liabilities of financial intermediaries. Prices perform well as concurrent indicators of market conditions but are not suitable as early warning indicators. Total credit and liabilities convey similar information and perform better as early warning indicators, but liabilities are more transparent and the decomposition between core and non-core liabilities convey additional useful information.

Author : Graciela Kaminsky
Publisher : Unknown
Page : 0 pages
File Size : 40,8 Mb
Release : 2003
Category : Electronic
ISBN : OCLC:1376485286

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Currency and Banking Crises by Graciela Kaminsky Pdf

The abruptness and virulence of the 1997 Asian crises have led many to claim that these crises are of a new breed and thus they were unforecastable. This paper examines 102 financial crises in 20 countries and concludes that the Asian crises are not of a new variety. Overall, the 1997 Asian crises, as well as previous crises in other regions, occur when the economies are in distress, making the degree of fragility of the economy a useful indicator of future crises. Based on this idea, the paper proposes different composite leading indicators of crises, which are evaluated in terms of accuracy both in-sample and out-of-sample.

Author : Matias Costa Navajas,Aaron Thegeya
Publisher : International Monetary Fund
Page : 38 pages
File Size : 48,8 Mb
Release : 2013-12-23
Category : Business & Economics
ISBN : 9781484327616

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Financial Soundness Indicators and Banking Crises by Matias Costa Navajas,Aaron Thegeya Pdf

The paper tests the effectiveness of financial soundness indicators (FSIs) as harbingers of banking crises, using multivariate logit models to see whether FSIs, broad macroeconomic indicators, and institutional indicators can indeed predict crisis occurrences. The analysis draws upon a data set of homogeneous indicators comparable across countries over the period 2005 to 2012, leveraging the IMF’s FSI database. Results indicate significant correlation between some FSIs and the occurrence of systemic banking crises, and suggest that some indicators are precursors to the occurrence of banking crises.

Author : Mr.Stijn Claessens,Mr.Ayhan Kose
Publisher : International Monetary Fund
Page : 66 pages
File Size : 55,9 Mb
Release : 2013-01-30
Category : Business & Economics
ISBN : 9781475561005

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Financial Crises Explanations, Types, and Implications by Mr.Stijn Claessens,Mr.Ayhan Kose Pdf

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.

Author : Graciela L. Kaminsky
Publisher : Unknown
Page : 54 pages
File Size : 41,9 Mb
Release : 1998
Category : Banks and banking
ISBN : UCSD:31822026350603

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Currency and Banking Crises by Graciela L. Kaminsky Pdf

Author : International Monetary Fund
Publisher : International Monetary Fund
Page : 33 pages
File Size : 45,5 Mb
Release : 1998-06-01
Category : Business & Economics
ISBN : 9781451951745

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Leading Indicators of Banking Crises by International Monetary Fund Pdf

This paper examines episodes of the banking system distress and crisis in a large sample of countries. The empirical results identify several macroeconomic and financial variables as useful leading indicators. The main macroeconomic indicators were of limited value in predicting the Asian crises; the best warning signs were proxies for the vulnerability of the banking and corporate sector. Full-blown banking crises are shown to be more associated with external developments, and domestic variables are the main leading indicators of severe but contained banking distress.

Author : Mr.Suman S Basu,Mr.Marcos Chamon,Mr.Christopher W. Crowe
Publisher : International Monetary Fund
Page : 42 pages
File Size : 53,7 Mb
Release : 2017-12-14
Category : Business & Economics
ISBN : 9781484333143

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A Model to Assess the Probabilities of Growth, Fiscal, and Financial Crises by Mr.Suman S Basu,Mr.Marcos Chamon,Mr.Christopher W. Crowe Pdf

This paper summarizes a suite of early warning models to assess the probabilities of growth, fiscal, and financial crises in advanced economies and emerging markets. We estimate separate signal-extraction models for each type of crisis and sample of countries, and we use our results to generate “histories of vulnerabilities” for countries, regions, and the world. For the global financial crisis, our models report that vulnerabilities in advanced economies were rooted in the bursting of leveraged bubbles, while vulnerabilities in emerging markets stemmed from lengthy booms in credit and asset prices combined with growing weaknesses in the corporate and external sectors.

Author : Ms.Camelia Minoiu,Chanhyun Kang,V.S. Subrahmanian,Anamaria Berea
Publisher : International Monetary Fund
Page : 44 pages
File Size : 43,6 Mb
Release : 2013-12-24
Category : Business & Economics
ISBN : 9781475554250

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Does Financial Connectedness Predict Crises? by Ms.Camelia Minoiu,Chanhyun Kang,V.S. Subrahmanian,Anamaria Berea Pdf

The global financial crisis has reignited interest in models of crisis prediction. It has also raised the question whether financial connectedness - a possible source of systemic risk - can serve as an early warning indicator of crises. In this paper we examine the ability of connectedness in the global network of financial linkages to predict systemic banking crises. Our results indicate that increases in a country's financial interconnectedness and decreases in its neighbors' connectedness are associated with a higher probability of banking crises after controlling for macroeconomic fundamentals.

Author : Enrica Detragiache,Poonam Gupta,Asli Demirgüç-Kunt
Publisher : International Monetary Fund
Page : 32 pages
File Size : 40,7 Mb
Release : 2000-08
Category : Business & Economics
ISBN : UCSD:31822028629863

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Inside the Crisis by Enrica Detragiache,Poonam Gupta,Asli Demirgüç-Kunt Pdf

With the proliferation of banking problems around the world, in the last few years the empirical literature on systemic banking crises has grown substantially. This literature has mostly focussed on the factors associated with the onset of distress to identify the determinants of the crises or to look for early warning indicators of trouble.2 In this paper, we shift attention to what happens to the economy and to the banking sector after a banking crisis breaks out. The evidence comes from both macroeconomic and bank level data. The macroeconomic sample includes 36 banking crises over the period 1980-95, while the bank-level data covers 16 crisis episodes during 1991-98.

Author : Mr.Stijn Claessens,Mr.Ayhan Kose,Mr.Luc Laeven,Mr.Fabian Valencia
Publisher : International Monetary Fund
Page : 670 pages
File Size : 46,8 Mb
Release : 2014-02-19
Category : Business & Economics
ISBN : 9781475543407

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Financial Crises by Mr.Stijn Claessens,Mr.Ayhan Kose,Mr.Luc Laeven,Mr.Fabian Valencia Pdf

The lingering effects of the economic crisis are still visible—this shows a clear need to improve our understanding of financial crises. This book surveys a wide range of crises, including banking, balance of payments, and sovereign debt crises. It begins with an overview of the various types of crises and introduces a comprehensive database of crises. Broad lessons on crisis prevention and management, as well as the short-term economic effects of crises, recessions, and recoveries, are discussed.

Author : Mr.Luc Laeven,Mr.Fabian Valencia
Publisher : International Monetary Fund
Page : 48 pages
File Size : 43,9 Mb
Release : 2018-09-14
Category : Business & Economics
ISBN : 9781484377048

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Systemic Banking Crises Revisited by Mr.Luc Laeven,Mr.Fabian Valencia Pdf

This paper updates the database on systemic banking crises presented in Laeven and Valencia (2008, 2013). Drawing on 151 systemic banking crises episodes around the globe during 1970-2017, the database includes information on crisis dates, policy responses to resolve banking crises, and the fiscal and output costs of crises. We provide new evidence that crises in high-income countries tend to last longer and be associated with higher output losses, lower fiscal costs, and more extensive use of bank guarantees and expansionary macro policies than crises in low- and middle-income countries. We complement the banking crises dates with sovereign debt and currency crises dates to find that sovereign debt and currency crises tend to coincide or follow banking crises.