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Real Output Costs of Financial Crises: a Loss Distribution Approach

Author

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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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    References listed on IDEAS

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    Cited by:

    1. 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.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    6. Sever, Can, 2014. "Systemic Liquidity Crisis with Dynamic Haircuts," MPRA Paper 55602, University Library of Munich, Germany.
    7. 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.
    8. 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).

    More about this item

    Keywords

    Financial Crisis; Severity; Frequency; Loss Distribution Approach.;

    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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