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 ... countries can tap international financial markets. In their analysis, they focus on the sovereign ratings of Moody’s and Standard & Poor’s; in what follows, we e...

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... scores are 16. 65 and 4.32, 5. See Kaminsky and Reinhart (2000) for details on the pattern of trade. Institute for International Economics | http://www.iie.com 86 ASSESSING FINANCIAL VULNERABILITY Table ... the European exchange ratemechanism (ERM)crisis andthe stronggrowth performance of the Australian economy in 1998 coincident with a large depreciation of the Australian dollar....

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... מ6.7 The Philippines 5. 7 5. 1 6.4 מ0 .5 Hong Kong 4.9 5. 3 5. 5 5. 1 Source: International Monetary Fund, World Economic Outlook. Although the contagion of financial disturbances usually runs from large ... countries to smaller ones, the Asian financial crisis has shown that severe financial- sector difficulties in even a relatively small economy (namely Thailand) can have wide-ran...

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... 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 ... weak and when an extensive 9. For example, the studies of banking crises in emerging markets by Caprio and Klingebiel (1996a, 1996b), Goldstein and Turner (1996), Honohan (19 95) ,...

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... and the exchange rate. For instance, in the banking panics of an earlier era large withdrawals of bank deposits could be used to date the crisis. In the wake of deposit insurance, however, bank ... useful for dating banking crises. As Japan’s banking crisis highlights, many modern financial crises stem from the asset side of the balance sheet, not from deposit withdrawals. Hence the p...

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... 0 .51 80 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 72 39.2 11.6 ... broad range of indicators in anticipating crises. Institute for International Economics | http://www.iie.com 36 ASSESSING FINANCIAL VULNERABILITY banking crises, the maximum r...

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... 2 0 52 South Korea 63 11 3 5 4 1 65 Spain 55 7 2 1 1 0 35 Sweden 60 6 1 1 1 0 30 Thailand 54 6 3 1 1 1 30 Turkey 33 5 3 3 3 0 35 Uruguay 71 5 1 1 1 0 26 Venezuela 29 5 2 1 1 0 26 Institute for ... 19 5 1 1 1 0 26 The Philippines 59 8 3 2 2 0 43 South Africa 55 10 3 1 1 0 43 South Korea 42 10 4 3 3 1 57 Spain 51 7 1 1 1 0 35 Sweden 59 5 1 1 1 0 26 Thailand 53 6 2 1...

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... 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 .58 9 for the real exchange rate forecast during tranquil and ... ASSESSING FINANCIAL VULNERABILITY reduction in reserve requirements, accompanying financial liberalization. Bank credit increased by 44 percent a year during 19 95- 96. As...

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... Economics | 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 crises that occurred over ... more important for banking crises than for currency crises, whereas the opposite proved true for the two indicators designed to capture currency/maturity mismatches a...

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... 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 ASSESSING FINANCIAL ... 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 cas...

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