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

• Tác giả: Christian Mulder
• Ngôn ngữ: eng
• Ký hiệu phân loại: 658.1 Organization and finance
• Thông tin xuất bản: Taylor and Francis, 2016
• Bộ sưu tập: Tài liệu truy cập mở
• ID: 310060
• Chủ đề: 1. balance sheet effects; 2. currency crises; 3. emerging markets; 4. exchange rates; 5. external vulnerability

Tóm tắt

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.