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

• Type: Article in International Scientific Journal
• Date: 2016

Authors

Christian Mulder (Author) Other; Roberto Perrelli (Author) Other; Manuel Duarte Rocha (Author) FEP

Journal

Title: Emerging Markets Finance and Trade

Vol. 52 No. 7

Pages: 1542-1561

ISSN: 1540-496X

Publisher: Taylor & Francis

Indexing

ISI Web of Knowledge - 4 Citations

ISI Web of Science

Scopus - 7 Citations

Econlit

Scientific classification

CORDIS: Social sciences > Economics

FOS: Social sciences > Economics and Business

Other information

Authenticus ID: 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.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 20