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

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,...

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Bibliographic Details
Main Authors:	Mulder, Christian, Perrelli, Roberto, Duarte Rocha, Manuel
Format:	Journal Article
Language:	en_US
Published:	Taylor and Francis 2016
Subjects:	currency crises external vulnerability emerging markets exchange rates balance sheet effects
Online Access:	http://hdl.handle.net/10986/24616

id	okr-10986-24616
recordtype	oai_dc
spelling	okr-10986-246162021-05-26T09:05:19Z The Role of Bank and Corporate Balance Sheets on Early Warning Systems of Currency Crises—An Empirical Study Mulder, Christian Perrelli, Roberto Duarte Rocha, Manuel currency crises external vulnerability emerging markets exchange rates balance sheet effects 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. 2016-07-05T22:06:30Z 2016-07-05T22:06:30Z 2016-06-30 Journal Article Emerging Markets Finance and Trade 1540-496X http://hdl.handle.net/10986/24616 en_US CC BY-NC-ND 3.0 IGO http://creativecommons.org/licenses/by-nc-nd/3.0/igo World Bank Taylor and Francis Publications & Research Publications & Research :: Journal Article East Asia and Pacific East Asia Mexico Turkey
repository_type	Digital Repository
institution_category	Foreign Institution
institution	Digital Repositories
building	World Bank Open Knowledge Repository
collection	World Bank
language	en_US
topic	currency crises external vulnerability emerging markets exchange rates balance sheet effects
spellingShingle	currency crises external vulnerability emerging markets exchange rates balance sheet effects Mulder, Christian Perrelli, Roberto Duarte Rocha, Manuel The Role of Bank and Corporate Balance Sheets on Early Warning Systems of Currency Crises—An Empirical Study
geographic_facet	East Asia and Pacific East Asia Mexico Turkey
description	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.
format	Journal Article
author	Mulder, Christian Perrelli, Roberto Duarte Rocha, Manuel
author_facet	Mulder, Christian Perrelli, Roberto Duarte Rocha, Manuel
author_sort	Mulder, Christian
title	The Role of Bank and Corporate Balance Sheets on Early Warning Systems of Currency Crises—An Empirical Study
title_short	The Role of Bank and Corporate Balance Sheets on Early Warning Systems of Currency Crises—An Empirical Study
title_full	The Role of Bank and Corporate Balance Sheets on Early Warning Systems of Currency Crises—An Empirical Study
title_fullStr	The Role of Bank and Corporate Balance Sheets on Early Warning Systems of Currency Crises—An Empirical Study
title_full_unstemmed	The Role of Bank and Corporate Balance Sheets on Early Warning Systems of Currency Crises—An Empirical Study
title_sort	role of bank and corporate balance sheets on early warning systems of currency crises—an empirical study
publisher	Taylor and Francis
publishDate	2016
url	http://hdl.handle.net/10986/24616
_version_	1764457195870617600

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

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