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Gini’s Transvariation Analysis : An Application on Financial Crises in Developing Countries

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  • Bragoli, Daniela
  • Ganugi, Piero
  • Ianulardo, Giancarlo
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    Abstract

    The damage and the recurrence of financial crises have increased the concern of investors and policymakers on one hand and the interest of macroeconomists on the other. This paper presents an original non parametric methodology, whose aim is to give a very intuitive and rigorous method for variable selection in order to analyze financial crises. The transvariation analysis compares the distributions of two different groups of countries (sound and distressed) with respect to a single macroeconomic variable and selects the indicators on the basis of a low transvariation probability index. The current account deficit to GDP ratio, differently from other studies on financial crises, seems to be a suitable variable in discriminating distressed countries from sound ones, and the case of Argentina and Turkey confirms this finding.

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    Bibliographic Info

    Paper provided by University of Bath, Department of Economics in its series Department of Economics Working Papers with number 15963.

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    Date of creation: 2009
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    Handle: RePEc:eid:wpaper:15963

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    1. Aghion, Philippe & Bacchetta, Philippe & Banerjee, Abhijit, 2001. "Currency crises and monetary policy in an economy with credit constraints," European Economic Review, Elsevier, vol. 45(7), pages 1121-1150.
    2. Philippe Aghion & Philippe Bacchetta & Abhijit Banerjee, 1999. "A Simple Model of Monetary Pollicy and Currency Crises," Working Papers 99.05, Swiss National Bank, Study Center Gerzensee.
    3. Stephen W. Salant & Dale W. Henderson, 1976. "Market anticipations, government policy, and the price of gold," International Finance Discussion Papers 81, Board of Governors of the Federal Reserve System (U.S.).
    4. Kaminsky, Graciela & Lizondo, Saul & Reinhart, Carmen M., 1997. "Leading indicators of currency crises," Policy Research Working Paper Series 1852, The World Bank.
    5. Maurice Obstfeld & Kenneth Rogoff, 1994. "Exchange Rate Dynamics Redux," NBER Working Papers 4693, National Bureau of Economic Research, Inc.
    6. Arias, Guillaume & Erlandsson, Ulf, 2004. "Regime switching as an alternative early warning system of currency crises - an application to South-East Asia," Working Papers 2004:11, Lund University, Department of Economics.
    7. Sebastian Edwards, 2007. "On Current Account Surpluses and the Correction of Global Imbalances," NBER Working Papers 12904, National Bureau of Economic Research, Inc.
    8. Obstfeld, Maurice & Rogoff, Kenneth S., 1995. "Exchange Rate Dynamics Redux," Scholarly Articles 12491026, Harvard University Department of Economics.
    9. Carmen M. Reinhart & Kenneth S. Rogoff, 2009. "This Time Is Different: Eight Centuries of Financial Folly," Economics Books, Princeton University Press, edition 1, volume 1, number 8973.
    10. Michael Bordo & Barry Eichengreen & Daniela Klingebiel & Maria Soledad Martinez-Peria, 2001. "Is the crisis problem growing more severe?," Economic Policy, CEPR & CES & MSH, vol. 16(32), pages 51-82, 04.
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    Cited by:
    1. Yucel, Eray, 2011. "A Review and Bibliography of Early Warning Models," MPRA Paper 32893, University Library of Munich, Germany.

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