assessing financial vulnerability an early warning system for emerging markets phần 2 potx
assessing financial vulnerability an early warning system for emerging markets phần 2 potx
... of nearly $50 billion
for Mexico in 1994-95; over $ 120 billion for Thailand,Indonesia, and South
Korea in 1997-98; over $25 billion for Russia and Ukraine in 1998; and
another $ 42 billion for ... with international financial rescue packages might be reduced.
Institute for International Economics | http://www.iie.com
12 ASSESSING FINANCIAL VULNERABILITY
the 1997-99 Asian...
assessing financial vulnerability an early warning system for emerging markets phần 1 ppt
... A1 A1
Mexico Ba2 Ba2 Ba2 Ba2
The Philippines Ba2 Ba2 Ba2 Ba2
South Korea A1 A1 stable Baa2 negative
Thailand A2 A2 A2 Baa1 negative
Standard & Poor’s October 1997
Indonesia
Foreign currency ... Moody’s rating system includes Aaa, Aa1, Aa2, Aa3, A1, A2, A3, Baa1, Baa2, Baa3, Ba1, Ba2, and Ba3, and Standard &
Poor’s runs AAA, AAם, AA, AAמ,Aם,A,Aמ, BBBם, BBB, BBBמ,BBם, BB, and BBמ.
Sou...
assessing financial vulnerability an early warning system for emerging markets phần 3 pot
... gyrations
in financial markets in Asia in 1997-99, however, may be unraveling those historic patterns.
Institute for International Economics | http://www.iie.com
22 ASSESSING FINANCIAL VULNERABILITY
Table ... 1997*
(continued next page)
Institute for International Economics | http://www.iie.com
24 ASSESSING FINANCIAL VULNERABILITY
Table 2. 2 Banking crisis starting date...
assessing financial vulnerability an early warning system for emerging markets phần 4 pot
... 89 32. 0 5.5 12 0
Imports 0.87 59 30.1 2. 9 14 ם1
Real interest rate 1.00 86 26 .1 מ0.1 12 מ1
differential
Lending-deposit 1. 32 63 24 .4 מ4.8 16 ם1
interest rate
Bank deposits 1. 32 43 22 .3 מ5 .2 15 ... 42. 4 15.0 3 מ1
M2/reserves 0.51 75 42. 3 14.9 5 0
Output 0.57 71 43.0 12. 5 6 0
Excess real M1 0.57 57 40.1 12. 3 7 0
balances
Reserves 0.58 72 38.9 12. 2 8 0
M2 multiplier 0.59 7...
assessing financial vulnerability an early warning system for emerging markets phần 5 doc
... other
Institute for International Economics | http://www.iie.com
50 ASSESSING FINANCIAL VULNERABILITY
Table 4.4 Do ratings predict banking crises for emerging markets?
(probit estimation with robust standard ... errors)
Independent Standard Marginal Pseudo
variable Coefficient error effects Probability R
2
12- month change in מ0. 827 2. 346 מ0.0 52 0.871 0.0 02
the Institut...
assessing financial vulnerability an early warning system for emerging markets phần 6 ppt
... 3 0 2 2 0 22
Bolivia 33 8 2 0 0 0 35
Brazil 39 7 3 0 0 0 32
Chile 40 5 2 1 1 0 26
Colombia 49 7 3 3 3 0 43
Czech Republic 85 10 3 4 2 2 61
Denmark 28 5 1 2 2 0 30
Egypt 22 3 2 1 1 0 17
Finland ... 1 1 1 22
Bolivia 42 8 2 0 0 0 35
Brazil 39 6 2 0 0 0 26
Chile 34 2 1 1 1 0 13
Colombia 38 5 2 3 3 1 35
Czech Republic 81 10 3 4 2 1 52
Denmark 24 4 0 1 1 0 22
E...
assessing financial vulnerability an early warning system for emerging markets phần 7 pdf
... gen-
eral. For example, the quadratic probability score declines from 0. 024 and
1. 620 for the naive forecast of currency crises to 0.018 and 1.589 for the
real exchange rate forecast during tranquil and ... banking crisis
0-1 0.10 0.03
1 -2 0 .22 0.05
2- 3 0.18 0.06
3-4 0 .21 0.09
4-5 0 .27 0. 12
5-7 0.33 0.13
7-9 0.46 0.16
9- 12 0.65 0 .27
12- 15 0.74 0.37
Over 15 0.96 n.a.
Mem...
assessing financial vulnerability an early warning system for emerging markets phần 8 docx
... scores are 16.65 and 4. 32,
5. See Kaminsky and Reinhart (20 00) for details on the pattern of trade.
Institute for International Economics | http://www.iie.com
86 ASSESSING FINANCIAL VULNERABILITY
Table ... compare
‘‘tranquil’’ and ‘‘crisis’’ periods. We define periods of tranquility as the
periods that exclude the 24 months before and after currency crises. In
the case of bankin...
assessing financial vulnerability an early warning system for emerging markets phần 9 ppsx
... serve as proxies for
financial liberalization—namely, a rise in the real interest rate and an
increase in the money multiplier—turned out to be more important for
banking crises than for currency ... http://www.iie.com
96 ASSESSING FINANCIAL VULNERABILITY
tendency, the better-performing leading indicators anticipated between
50 and 100 percent of the banking and currency crise...
assessing financial vulnerability an early warning system for emerging markets phần 10 pptx
... rankings of vulnera-
12. Morespecifically, the ‘‘tranquil’’ period excludes the 24 months beforeand after currency
crises and the 24 months before and 36 months after banking crises.
13. In the ... International Financial Statistics (IFS), the Interna-
tional Finance Corporation’s (IFC) Emerging Market Indicators, and the
Institute for International Economics | http://www.iie.com
108...