Assessing the Impact of Private Sector Balance Sheets Effects on Financial Crises: a comparison of Bayesian and information-theoretic measures of model uncertainty
AbstractThis paper examines the intensity of financial crises during the 1990s with a view to informing crisis prevention and mitigation policies. We compare the performance of a full Bayesian and an information-theoretic approach in addressing the econometric problems posed by the lack of a unifying theoretical model, a large number of crisis indicators, and a number of additional data shortfalls. The results indicate that the probability and intensity of financial crises are heightened by corporate illiquidity and leverage, a lack of nonbank sources of financing, excessive domestic relative to foreign currency liquidity and a cutoff of capital inflows. The implications are that policy measures aimed at improving the operation and monitoring of the corporate and nonbank financial sectors could reduce crisis vulnerability
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by Econometric Society in its series Econometric Society 2004 Latin American Meetings with number 162.
Date of creation: 11 Aug 2004
Date of revision:
Contact details of provider:
Phone: 1 212 998 3820
Fax: 1 212 995 4487
Web page: http://www.econometricsociety.org/pastmeetings.asp
More information through EDIRC
Model Uncertainty; Financial Crises; Bayesian Inference; AIC; Kullback Leibler; Model Averaging;
Find related papers by JEL classification:
- B41 - Schools of Economic Thought and Methodology - - Economic Methodology - - - Economic Methodology
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Pesaran, M.H. & Schleicher, C. & Zaffaroni, P., 2008.
"Model Averaging in Risk Management with an Application to Futures Markets,"
Cambridge Working Papers in Economics
0808, Faculty of Economics, University of Cambridge.
- Pesaran, M. Hashem & Schleicher, Christoph & Zaffaroni, Paolo, 2009. "Model averaging in risk management with an application to futures markets," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 280-305, March.
- M. Hashem Pesaran & Christoph Schleicher & Paolo Zaffaroni, 2008. "Model Averaging in Risk Management with an Application to Futures Markets," CESifo Working Paper Series 2231, CESifo Group Munich.
- Gernot Doppelhofer & Xavier Sala I Martin & Melvyn Weeks, 2005. "Jointness of Determinants of Economics Growth," Money Macro and Finance (MMF) Research Group Conference 2005 54, Money Macro and Finance Research Group.
- Pesaran, M Hashem & Zaffaroni, Paolo, 2005.
"Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management,"
CEPR Discussion Papers
5279, C.E.P.R. Discussion Papers.
- M. Hashem Pesaran & Paolo Zaffaroni, 2004. "Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management," CESifo Working Paper Series 1358, CESifo Group Munich.
- Hashem Pesaran & Paolo Zaffaroni & Banca d'Italia), 2004. "Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management," Money Macro and Finance (MMF) Research Group Conference 2004 101, Money Macro and Finance Research Group.
- M. Hashem Pesaran & Paolo Zaffaroni, 2004. "Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management," IEPR Working Papers 04.3, Institute of Economic Policy Research (IEPR).
- Gernot Doppelhofer & Melvyn Weeks, 2007.
"Jointness of Growth Determinants,"
CESifo Working Paper Series
1978, CESifo Group Munich.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).
If references are entirely missing, you can add them using this form.