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Real Output Costs of Financial Crises: a Loss Distribution Approach

  • Daniel Kapp

    (Paris School of Economics)

  • Marco Vega

    (Departamento de Economía - Sección Economía-Pontificia Universidad Católica del Perú)

Se estudian las pérdidas de PBI a través de países originadas por crisis financieras. Las pérdidas se analizan en términos de frecuencia (número de eventos de pérdida) y severidad (monto de pérdida por cada evento). Se utiliza el enfoque de densidad total de las perdidas (enfoque LDA por sus siglas en inglés) para estimar la función de densidad de probabilidad de las pérdidas agregadas para un número grande de países así como los percentiles asociados a eventos extremos de pérdidas de PBI atadas a crisis financieras. Se encuentra que las pérdidas de producto asociadas a crisis financieras son heterogéneas y que las crisis cambiarias llevan a menores pérdidas de producto que las crisis de deuda y las crisis bancarias. Episodios de crisis financieras extremas a nivel mundial, aquellos que ocurren con una probabilidad menor a uno por ciento cada cinco años, llevan a pérdidas de producto mundiales entre 2.95% y 4.54%.

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Paper provided by Departamento de Economía - Pontificia Universidad Católica del Perú in its series Documentos de Trabajo / Working Papers with number 2012-332.

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Length: 33 pages
Date of creation: 2012
Date of revision:
Publication status: published
Handle: RePEc:pcp:pucwps:wp00332
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