The Role of Bank and Corporate Balance Sheets on Early Warning Systems of Currency Crises-An Empirical Study

• Tipo: Artigo em Revista Científica Internacional
• Data: 2016

Autores

Christian Mulder (Autor) Outra; Roberto Perrelli (Autor) Outra; Manuel Duarte Rocha (Autor) FEP

Revista

Título: Emerging Markets Finance and Trade

Vol. 52 Nº 7

Páginas: 1542-1561

ISSN: 1540-496X

Editora: Taylor & Francis

Indexação

ISI Web of Knowledge - 4 Citações

ISI Web of Science

Scopus - 7 Citações

Econlit

Classificação Científica

CORDIS: Ciências Sociais > Economia

FOS: Ciências sociais > Economia e gestão

Outras Informações

ID Authenticus: P-00K-PRW

DOI: 10.1080/1540496x.2016.1158545

Abstract (EN): This study analyzes the role of bank and corporate balance sheets on early warning systems (EWS) of currency crises. Using firm-level data on debt structure, leverage, liquidity, and profitability, this study presents estimations of EWS for a panel of emerging markets. Using calibration experiments, we assess the performance of alternative EWS specifications in a comprehensive range of crisis-probability cut-offs. These models supplement EWS based on traditional macroeconomic indicators, improving forecasting performance substantially. The results support the third-generation models of currency crises and can assist policymakers on the design of surveillance strategies tailored for heterogeneous levels of risk tolerance and country specificities.

Idioma: Inglês

Tipo (Avaliação Docente): Científica

Nº de páginas: 20