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Systemic Financial Crises, Balance Sheets, and Model Uncertainity

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  • Melvyn Weeks
  • Mark R. Stone

Abstract

This paper empirically examines the probability and intensity of financial crises during the 1990s with a view to informing crisis prevention and mitigation policies. The econometric analysis uses a decision-theoretic approach, rather than the more standard general-to-specific approach, to address the high degree of model uncertainty. The results affirm the importance of balance sheets in the probability and intensity of financial crises, especially corporate balance sheet stresses and foreign exchange liquidity shortfalls. Model uncertainty is a bigger problem for estimating crisis intensity compared to crisis probability.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 01/162.

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Length: 38
Date of creation: 01 Oct 2001
Date of revision:
Handle: RePEc:imf:imfwpa:01/162

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Cited by:
  1. Ramkishen S. Rajan, 2006. "Managing New-Style Currency Crises: The Swan Diagram Approach Revisited," SCAPE Policy Research Working Paper Series 0517, National University of Singapore, Department of Economics, SCAPE.
  2. Massacci, D., 2007. "Identification and Estimation in an Incoherent Model of Contagion," Cambridge Working Papers in Economics 0744, Faculty of Economics, University of Cambridge.
  3. Saibal Ghosh, 2005. "Does leverage influence banks' non-performing loans? Evidence from India," Applied Economics Letters, Taylor & Francis Journals, vol. 12(15), pages 913-918.
  4. de Bandt,O. & Malik, S., 2010. "Is there Evidence of Shift-Contagion in International Housing Markets?," Working papers 295, Banque de France.
  5. Pesaran, M.H. & Pick, A., 2004. "Econometric Issues in the Analysis of Contagion," Cambridge Working Papers in Economics 0402, Faculty of Economics, University of Cambridge.
  6. Emanuele Bacchiocchi & Marta Bevilacqua, 2008. "International Crisis, Instability Periods and Contagion: The Case of the ERM," UNIMI - Research Papers in Economics, Business, and Statistics unimi-1079, Universitá degli Studi di Milano.
  7. Joshua E. Greene, 2002. "The Output Decline in Asian Crisis Countries," IMF Working Papers 02/25, International Monetary Fund.
  8. Andre Cartapanis, 2004. "Le declenchement des crises de change : qu'avons-nous appris depuis dix ans ?," Economie Internationale, CEPII research center, issue 97, pages 5-48.
  9. Garratt, Anthony & Lee, Kevin & Mise, Emi & Shields, Kalvinder, 2009. "Real time representation of the UK output gap in the presence of model uncertainty," International Journal of Forecasting, Elsevier, vol. 25(1), pages 81-102.
  10. Jo�l van der Weele, 2005. "Financing development: debt versus equity," DNB Working Papers 038, Netherlands Central Bank, Research Department.
  11. Kadri Männasoo, 2007. "Determinants of firm sustainability in Estonia," Bank of Estonia Working Papers 2007-04, Bank of Estonia, revised 08 Mar 2007.
  12. Richard Hemming & Axel Schimmelpfennig & Michael Kell, 2003. "Fiscal Vulnerability and Financial Crises in Emerging Market Economies," IMF Occasional Papers 218, International Monetary Fund.

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