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Forecasting domestic liquidity during a crisis: what works best?

  • Winston R. Moore

    (Department of Economics, University of the West Indies, Cave Hill Campus, BB 11000 Bridgetown, Barbados)

The 1990s were a turbulent time for Latin American and Caribbean countries. During this period, the region suffered from no less than 16 banking crises. One the most important determinants of the severity of banking a crisis is commercial bank liquidity. Banking systems that are relatively liquid are better able to deal with the large deposit withdrawals which tend to accompany bank runs. This study provides an assessment of whether behavioural models, linear time series or nonlinear time series models are better able to account for liquidity dynamics during a crisis.  Copyright © 2007 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/for.1033
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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 26 (2007)
Issue (Month): 6 ()
Pages: 445-455

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Handle: RePEc:jof:jforec:v:26:y:2007:i:6:p:445-455
Contact details of provider: Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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