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Leading Indicators Of Fiscal Distress
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Book Synopsis Leading Indicators of Fiscal Distress by : Martin Bruns
Download or read book Leading Indicators of Fiscal Distress written by Martin Bruns and published by International Monetary Fund. This book was released on 2016-02-15 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: Early warning systems (EWS) are widely used for assessing countries’ vulnerability to fiscal distress. Most EWS employ a specific set of only fiscal leading indicators predetermined by the researchers, which casts doubt on their robustness. We revisit this issue by using the Extreme Bound Analysis, which allows identifying robust leading indicators of fiscal distress from a large set. Consistent with the theoretical predictions of latest generation crisis models, we find that both fiscal (e.g., fiscal balance, foreign exchange debt) and non-fiscal leading indicators (e.g., output, FX reserves, current account balance, and openness) are robust. In addition, we find that a fiscal vulnerability indicator based on fiscal and non-fiscal leading indicators offers a 29% gain in predictive power compared to a traditional one based on fiscal leading indicators only. It also has good predictive power out of sample, with 78 percent of crises predicted correctly and only 34 percent false alarms issued for the period 2008–15. This suggests that both fiscal and non-fiscal leading indicators should be taken into account when assessing country’s vulnerability to fiscal distress.
Book Synopsis Leading Indicators of Fiscal Distress by :
Download or read book Leading Indicators of Fiscal Distress written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Predicting Fiscal Crises by : Ms.Svetlana Cerovic
Download or read book Predicting Fiscal Crises written by Ms.Svetlana Cerovic and published by International Monetary Fund. This book was released on 2018-08-03 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper identifies leading indicators of fiscal crises based on a large sample of countries at different stages of development over 1970-2015. Our results are robust to different methodologies and sample periods. Previous literature on early warning sistems (EWS) for fiscal crises is scarce and based on small samples of advanced and emerging markets, raising doubts about the robustness of the results. Using a larger sample, our analysis shows that both nonfiscal (external and internal imbalances) and fiscal variables help predict crises among advanced and emerging economies. Our models performed well in out-of-sample forecasting and in predicting the most recent crises, a weakness of EWS in general. We also build EWS for low income countries, which had been overlooked in the literature.
Book Synopsis Leading Indicators of Fiscal Distress by : Martin Bruns
Download or read book Leading Indicators of Fiscal Distress written by Martin Bruns and published by International Monetary Fund. This book was released on 2016-02-15 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: Early warning systems (EWS) are widely used for assessing countries’ vulnerability to fiscal distress. Most EWS employ a specific set of only fiscal leading indicators predetermined by the researchers, which casts doubt on their robustness. We revisit this issue by using the Extreme Bound Analysis, which allows identifying robust leading indicators of fiscal distress from a large set. Consistent with the theoretical predictions of latest generation crisis models, we find that both fiscal (e.g., fiscal balance, foreign exchange debt) and non-fiscal leading indicators (e.g., output, FX reserves, current account balance, and openness) are robust. In addition, we find that a fiscal vulnerability indicator based on fiscal and non-fiscal leading indicators offers a 29% gain in predictive power compared to a traditional one based on fiscal leading indicators only. It also has good predictive power out of sample, with 78 percent of crises predicted correctly and only 34 percent false alarms issued for the period 2008–15. This suggests that both fiscal and non-fiscal leading indicators should be taken into account when assessing country’s vulnerability to fiscal distress.
Book Synopsis Measuring and Modeling Determinants of Fiscal Stress in Us Municipalities by : Evgenia Gorina
Download or read book Measuring and Modeling Determinants of Fiscal Stress in Us Municipalities written by Evgenia Gorina and published by . This book was released on 2018 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Great Recession produced a wave of fiscal crises in American cities and counties. In addition to the high profile bankruptcies in Vallejo, Stockton, San Bernardino, many local governments were compelled to declare fiscal emergencies, raise tax rates, lay off or furlough workers, and undertake other unpopular strategies of fiscal retrenchment. Yet, other municipalities weathered the recession without taking such actions. Using a variation in local fiscal performance in the Great Recession and years that followed (FY2007-2012), we develop and test a model of fiscal distress for cities and counties. The model focuses on the relationship between fiscal distress and a set of its leading indicators. Our work contributes local fiscal management research in two ways. First, we work with data from local Comprehensive Annual Financial Reports (CAFRs), budgets and media coverage to construct a unique dependent variable of fiscal distress. And second, our models include a wide variety of fiscal and socio-economic variables as predictors. Such variables include measures of fiscal reserves, debt, pension funding discipline, as well as data on real estate pricing, local incomes, and unemployment. The study will also include fiscal structure variables and will highlight the role of revenue composition in local financial management.
Book Synopsis Leading Indicators of Currency Crises by : Graciela Laura Kaminsky
Download or read book Leading Indicators of Currency Crises written by Graciela Laura Kaminsky and published by International Monetary Fund. This book was released on 1997-07-01 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the empirical evidence on currency crises and proposes a specific early warning system. This system involves monitoring the evolution of several indicators that tend to exhibit an unusual behavior in the periods preceding a crisis. When an indicator exceeds a certain threshold value, this is interpreted as a warning “signal” that a currency crisis may take place within the following 24 months. The variables that have the best track record within this approach include exports, deviations of the real exchange rate from trend, the ratio of broad money to gross international reserves, output, and equity prices.
Book Synopsis Fiscal Crises by : Mrs.Kerstin Gerling
Download or read book Fiscal Crises written by Mrs.Kerstin Gerling and published by International Monetary Fund. This book was released on 2017-04-03 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: A key objective of fiscal policy is to maintain the sustainability of public finances and avoid crises. Remarkably, there is very limited analysis on fiscal crises. This paper presents a new database of fiscal crises covering different country groups, including low-income developing countries (LIDCs) that have been mostly ignored in the past. Countries faced on average two crises since 1970, with the highest frequency in LIDCs and lowest in advanced economies. The data sheds some light on policies and economic dynamics around crises. LIDCs, which are usually seen as more vulnerable to shocks, appear to suffer the least in crisis periods. Surprisingly, advanced economies face greater turbulence (growth declines sharply in the first two years of the crisis), with half of them experiencing economic contractions. Fiscal policy is usually procyclical as countries curtail expenditure growth when economic activity weakens. We also find that the decline in economic growth is magnified if accompanied by a financial crisis.
Book Synopsis External Imbalances and Financial Crises by : Alan Taylor
Download or read book External Imbalances and Financial Crises written by Alan Taylor and published by International Monetary Fund. This book was released on 2013-12-20 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: Consider two views of the global financial crisis. One view looks across the border: it blames external imbalances, the unprecedented current account deficits and surpluses in recent years. Another view looks within the border: it faults domestic financial systems where risks originated in excessive credit booms. We can use the lens of macroeconomic and financial history to confront these dueling hypotheses with evidence. The credit boom explanation is the most plausible predictor of crises since the late nineteenth century; global imbalances have only a weak correlation with financial distress compared to indicators drawn from the financial system itself.
Book Synopsis An Early-detection Index of Fiscal Stress for EU Countries by : Katia Berti
Download or read book An Early-detection Index of Fiscal Stress for EU Countries written by Katia Berti and published by . This book was released on 2012 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The financial and economic crisis has generated renewed interest, especially among policy-makers, in early-warning systems that could help identifying fiscal and macro-financial vulnerabilities potentially triggering risks. Against this background, this paper presents an early-warning index of fiscal stress, incorporating fiscal, financial and competitiveness variables, some of which are common to the scoreboard used in the EU for the surveillance of macroeconomic imbalances. Thresholds of fiscal risk are determined, based on the non-parametric signals approach, for the overall index, the two sub-indexes grouping fiscal and financial-competitiveness variables and each individual variable used in the analysis. Values of the overall index beyond its critical threshold pinpoint to potential risks of fiscal stress in the short run, while the analysis at individual variable level allows identifying possible sources of vulnerabilities, which is key to design appropriate risk-mitigating policies. The results obtained highlight the importance of incorporating financial-competitiveness variables in an early-warning system for fiscal stress, as such variables appear to be better "leading indicators" of fiscal stress than fiscal variables are. The results also speak in favour of using an early-warning composite indicator of fiscal stress, rather than looking at the individual variables taken in isolation. Results obtained by applying the proposed methodology to EU countries are presented in the last part of the paper."--Document home page.
Book Synopsis The efficiency of early warning indicators for financial crises by : Jens Michael Rabe
Download or read book The efficiency of early warning indicators for financial crises written by Jens Michael Rabe and published by diplom.de. This book was released on 2000-03-30 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inhaltsangabe:Abstract: The banking and currency crises of the last two decades inflicted substantial financial, economic, and social damage on the countries in which they originated. In this work, the efficiency of early warning indicators for these disastrous economic events is evaluated. An analysis of the traditional and recent literature on currency crises is performed in order to extract potential early warning indicators that are suggested by theory. Alongside others, these candidate indicators are tested in alternative empirical studies that are reviewed in this work. The results are mixed, but somewhat encouraging for further research in this field. Furthermore, the analysis is extended to a critique of systems of early warning indicators currently used by international institutions. Inhaltsverzeichnis:Table of Contents: 1.Introduction1 2.The Currency Crisis Literature as a Reference Point for the Identification of Early Warning Indicators4 2.1The Traditional Theory5 2.2Second Generation Models11 2.3A Cross-generation Framework Proposition19 2.4Early Warning Indicators as Suggested by Theory22 3.The Empirical Assessment of Early Warning Indicators24 3.1Univariate Indicators for Financial Crises24 3.1.1Cross-Country Regressions26 3.1.2Multivariate Probit Models35 3.1.3The Signals Approach40 3.2Composite Leading Indicators for Financial Crises48 4.A Critique of Early Warning Indicators Used in Practice53 5.Conclusion64 Appendix68 Bibliography69
Book Synopsis Early Indicators of Currency Crises; Review of Some Literature by : Magdalena Tomczynska
Download or read book Early Indicators of Currency Crises; Review of Some Literature written by Magdalena Tomczynska and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial crises have become relatively frequent events since the beginning of the 1980s. They have taken three main forms: currency crises, banking crises, or both - so called twin crises. As the number of developed economies, developing countries, and economies in transition experienced severe financial crashes researchers are trying to propose a framework for systemic analyses. That is why attempts to advance the understanding of features leading to the outbreak of financial crisis as well as the reasons of vulnerability have become more and more important. In recent years a number of efforts have been undertaken to identify variables that act as early warning signals for crises. The purpose of this paper is to provide some perspective on the issue of early warning signals of vulnerability to currency crises. In particular, it is aimed at presenting and highlighting the main findings of theoretical literature in this area. An effective warning system should consider a broad variety of indicators, as currency crises seem to be usually associated with multiple economic and sometimes political problems. Indicators that have proven to be particularly useful in anticipating crises and received empirical support include the development of international reserves, real exchange rate, domestic credit, credit to the public sector, domestic inflation, and structure and financing of public debt. Other indicators that have found support are trade balance, export performance, money growth, M2/international reserves ratio, foreign interest rates, real GDP growth, and fiscal deficit. Many of the proposed leading indicators have been able to predict particular crises, however, only few have showed ability to do so consistently. Generally, economic models can be said to be more successful in predicting crises that erupt because of weak fundamentals, which make country vulnerable to adverse shocks. They are less likely in anticipating crises due to selffulfilling expectations or pure contagion effects. So far economists are only able to identify situations in which an economy could face the risk of a financial crisis. This is most because of the well-known fact that if we knew the crisis would have already occurred. Warning indicators seem to be unlikely to predict crises in precise way but their analyses can provide extended information about impending problems what enables to take preventive measures.
Book Synopsis Leading Indicators of Banking Crises by : International Monetary Fund
Download or read book Leading Indicators of Banking Crises written by International Monetary Fund and published by International Monetary Fund. This book was released on 1998-06-01 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines episodes of the banking system distress and crisis in a large sample of countries. The empirical results identify several macroeconomic and financial variables as useful leading indicators. The main macroeconomic indicators were of limited value in predicting the Asian crises; the best warning signs were proxies for the vulnerability of the banking and corporate sector. Full-blown banking crises are shown to be more associated with external developments, and domestic variables are the main leading indicators of severe but contained banking distress.
Book Synopsis Leading Indicators of Financial Stress by :
Download or read book Leading Indicators of Financial Stress written by and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :International Monetary Fund. Research Dept. Publisher :International Monetary Fund ISBN 13 :1462332374 Total Pages :104 pages Book Rating :4.4/5 (623 download)
Book Synopsis IMF Staff papers by : International Monetary Fund. Research Dept.
Download or read book IMF Staff papers written by International Monetary Fund. Research Dept. and published by International Monetary Fund. This book was released on 1999-01-01 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines determinants and leading indicators of banking crises. The paper examines episodes of banking system distress and crisis in a large sample of countries to identify which macroeconomic and financial variables can be useful leading indicators. The best warning signs of the recent Asian crises were proxies for the vulnerability of the banking and corporate sector. Full-blown banking crises are shown to be associated more with external developments, and domestic variables are the main leading indicators of severe but contained banking distress.
Book Synopsis Are Leading Indicators of Financial Crises Useful for Assessing Country Vulnerability? Evidence from the 2008-09 Global Crisis by :
Download or read book Are Leading Indicators of Financial Crises Useful for Assessing Country Vulnerability? Evidence from the 2008-09 Global Crisis written by and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Predicting Fiscal Crises by : Svetlana Cerovic
Download or read book Predicting Fiscal Crises written by Svetlana Cerovic and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper identifies leading indicators of fiscal crises based on a large sample of countries at different stages of development over 1970-2015. Our results are robust to different methodologies and sample periods. Previous literature on early warning sistems (EWS) for fiscal crises is scarce and based on small samples of advanced and emerging markets, raising doubts about the robustness of the results. Using a larger sample, our analysis shows that both nonfiscal (external and internal imbalances) and fiscal variables help predict crises among advanced and emerging economies. Our models performed well in out-of-sample forecasting and in predicting the most recent crises, a weakness of EWS in general. We also build EWS for low income countries, which had been overlooked in the literature.
Book Synopsis Financial Crises Explanations, Types, and Implications by : Mr.Stijn Claessens
Download or read book Financial Crises Explanations, Types, and Implications written by Mr.Stijn Claessens and published by International Monetary Fund. This book was released on 2013-01-30 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews the literature on financial crises focusing on three specific aspects. First, what are the main factors explaining financial crises? Since many theories on the sources of financial crises highlight the importance of sharp fluctuations in asset and credit markets, the paper briefly reviews theoretical and empirical studies on developments in these markets around financial crises. Second, what are the major types of financial crises? The paper focuses on the main theoretical and empirical explanations of four types of financial crises—currency crises, sudden stops, debt crises, and banking crises—and presents a survey of the literature that attempts to identify these episodes. Third, what are the real and financial sector implications of crises? The paper briefly reviews the short- and medium-run implications of crises for the real economy and financial sector. It concludes with a summary of the main lessons from the literature and future research directions.
