Journal Article

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

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collection.link.125
https://openknowledge.worldbank.org/handle/10986/4401
collection.name.125
C. Journal articles published externally
dc.contributor.author
Mulder, Christian
dc.contributor.author
Perrelli, Roberto
dc.contributor.author
Duarte Rocha, Manuel
dc.date.accessioned
2016-07-05T22:06:30Z
dc.date.available
2016-07-05T22:06:30Z
dc.date.issued
2016-06-30
dc.date.lastModified
2021-05-26T09:05:19Z
dc.description.abstract
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.
en
dc.identifier.citation
Emerging Markets Finance and Trade
dc.identifier.issn
1540-496X
dc.identifier.uri
http://hdl.handle.net/10986/24616
dc.language.iso
en_US
dc.publisher
Taylor and Francis
dc.rights
CC BY-NC-ND 3.0 IGO
dc.rights.holder
World Bank
dc.rights.uri
http://creativecommons.org/licenses/by-nc-nd/3.0/igo
dc.subject
currency crises
dc.subject
external vulnerability
dc.subject
emerging markets
dc.subject
exchange rates
dc.subject
balance sheet effects
dc.title
The Role of Bank and Corporate Balance Sheets on Early Warning Systems of Currency Crises—An Empirical Study
en
dc.type
Journal Article
en
okr.associatedcontent
http://www.tandfonline.com/doi/abs/10.1080/1540496X.2016.1158545 Journal website (version of record)
okr.date.disclosure
2017-12-30
okr.doctype
Publications & Research
okr.doctype
Publications & Research :: Journal Article
okr.externalcontent
External Content
okr.googlescholar.linkpresent
yes
okr.identifier.doi
10.1080/1540496X.2016.1158545
okr.identifier.doi
10.1596/24616
okr.journal.nbpages
1542-61
okr.language.supported
en
okr.peerreview
Academic Peer Review
okr.region.administrative
East Asia and Pacific
okr.region.country
Mexico
okr.region.country
Turkey
okr.region.geographical
East Asia
okr.topic
Macroeconomics and Economic Growth :: Economic Conditions and Volatility
okr.topic
Finance and Financial Sector Development :: Currencies and Exchange Rates
okr.topic
Macroeconomics and Economic Growth :: Economic Theory & Research
okr.topic
Macroeconomics and Economic Growth :: Economic Growth
okr.volume
52(7)

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