Systemic Financial Crises, Balance Sheets, and Model Uncertainity
AbstractThis 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 InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 01/162.
Date of creation: 01 Oct 2001
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