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Real Output Costs of Financial Crises: a Loss Distribution Approach

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  • Daniel Kapp

    (Paris School of Economics)

  • Marco Vega

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

Abstract

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%.

Suggested Citation

  • Daniel Kapp & Marco Vega, 2012. "Real Output Costs of Financial Crises: a Loss Distribution Approach," Documentos de Trabajo / Working Papers 2012-332, Departamento de Economía - Pontificia Universidad Católica del Perú.
    • Handle: RePEc:pcp:pucwps:wp00332
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    File URL: http://files.pucp.edu.pe/departamento/economia/DDD332.pdf
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    2. Steiner, Andreas, 2014. "Reserve accumulation and financial crises: From individual protection to systemic risk," European Economic Review, Elsevier, vol. 70(C), pages 126-144.
    3. Devereux, John & Dwyer, Gerald P., 2016. "What determines output losses after banking crises?," Journal of International Money and Finance, Elsevier, vol. 69(C), pages 69-94.
    4. Aizenman, Joshua & Ito, Hiro, 2014. "Living with the trilemma constraint: Relative trilemma policy divergence, crises, and output losses for developing countries," Journal of International Money and Finance, Elsevier, vol. 49(PA), pages 28-51.
    5. Sever, Can, 2014. "Systemic Liquidity Crisis with Dynamic Haircuts," MPRA Paper 55602, University Library of Munich, Germany.
    6. repec:dgr:rugsom:13010-eef is not listed on IDEAS
    7. Boris Vujcic & Mirna Dumicic, 2016. "Managing systemic risks in the Croatian economy," BIS Papers chapters, in: Bank for International Settlements (ed.), Macroprudential policy, volume 86, pages 75-84, Bank for International Settlements.
    8. Raputsoane, Leroi, 2018. "Quantifying economic recovery from the recent global financial crisis," MPRA Paper 87410, University Library of Munich, Germany.
    9. Emilia-Ancuta Corovei, 2015. "Real Output Costs of Financial Crisis on CEE Countries," Knowledge Horizons - Economics, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 7(1), pages 80-84, March.
    10. Mahdi Yazdani & Mohammad Nikzad, 2021. "Output Losses from Currency Crises and the Role of Central Bank," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 10(3), pages 79-97.
    11. Iustina Alina Boitan, 2015. "Output Loss Severity across EU Countries. Evidence for the 2008 Financial Crisis," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 11(4), pages 117-126, August.
    12. Tolga Umut Kuzubas & Burak Saltoglu & Can Sever, 2014. "Systemic Risk and Heterogeneous Leverage in Banking Network: Implications for Banking Regulation," Working Papers 2014/01, Bogazici University, Department of Economics.
    13. Boonman, Tjeerd M., 2013. "Sovereign defaults, business cycles and economic growth in Latin America, 1870-2012," Research Report 13010-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    14. Carbajal-De-Nova, Carolina & Venegas-Martínez, Francisco, 2019. "On the paradigm shift of asset pricing models, before and after the global financial crisis: a literature review," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 15(29), pages 7-38, Primer se.

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    More about this item

    Keywords

    Financial Crisis; Severity; Frequency; Loss Distribution Approach.;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • G01 - Financial Economics - - General - - - Financial Crises
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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