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Author: Ms.Camelia Minoiu
Publisher: International Monetary Fund
ISBN: 1475554257
Category : Business & Economics
Languages : en
Pages : 44
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Book Description
The global financial crisis has reignited interest in models of crisis prediction. It has also raised the question whether financial connectedness - a possible source of systemic risk - can serve as an early warning indicator of crises. In this paper we examine the ability of connectedness in the global network of financial linkages to predict systemic banking crises. Our results indicate that increases in a country's financial interconnectedness and decreases in its neighbors' connectedness are associated with a higher probability of banking crises after controlling for macroeconomic fundamentals.
Author: Ms.Camelia Minoiu
Publisher: International Monetary Fund
ISBN: 1475554257
Category : Business & Economics
Languages : en
Pages : 44
Get Book Here
Book Description
The global financial crisis has reignited interest in models of crisis prediction. It has also raised the question whether financial connectedness - a possible source of systemic risk - can serve as an early warning indicator of crises. In this paper we examine the ability of connectedness in the global network of financial linkages to predict systemic banking crises. Our results indicate that increases in a country's financial interconnectedness and decreases in its neighbors' connectedness are associated with a higher probability of banking crises after controlling for macroeconomic fundamentals.
Author: Ms.Camelia Minoiu
Publisher: International Monetary Fund
ISBN: 1484331311
Category : Business & Economics
Languages : en
Pages : 44
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Book Description
The global financial crisis has reignited interest in models of crisis prediction. It has also raised the question whether financial connectedness - a possible source of systemic risk - can serve as an early warning indicator of crises. In this paper we examine the ability of connectedness in the global network of financial linkages to predict systemic banking crises. Our results indicate that increases in a country's financial interconnectedness and decreases in its neighbors' connectedness are associated with a higher probability of banking crises after controlling for macroeconomic fundamentals.
Author: Christopher Gandrud
Publisher:
ISBN:
Category :
Languages : en
Pages : 40
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Book Description
This paper studies how self-fulfilling dynamics affect the predictability of financial crises. We build a model in which market participants play an investment coordination game with common economic shocks and private information about their own willingness to cooperate. An observer attempts to predict the occurrence of a financial crisis in the future based on the players' actions in the present. Under favorable conditions, good market conditions prevent an observer from learning about players' types by observing their actions. This induces a negative correlation between economic conditions in the present and the variance of players' types in the following period, which defines the predictability of financial crises. Under more extreme positive market conditions, the observer cannot use present observations of the players to learn about the probability of a financial crisis in the future. We test the implications of the model using a new continuous measure of financial market stress - “FinStress” - developed by Gandrud and Hallerberg (2015). We find support for a key implication of our theory: the variance of financial market stress is larger following periods of good economic conditions than following poor economic conditions. These conclusions have implications for both empirical analyses of the predictors of financial crises and for policymakers seeking to prevent crises. The findings in our paper suggest that regulators should focus on actors' types (e.g. with stress tests) more than macro-economic conditions. More broadly, our analysis provides a new explanation for why social scientists and area specialists are generally poor at predicting events that require mass coordination, such as financial crises, coups, and revolutions.
Author: Esa Jokivuolle
Publisher:
ISBN: 9781316954577
Category : Banks and banking
Languages : en
Pages : 206
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Book Description
This book uses perspectives of finance and banking to offer predictions on future financial crises, and how we can prepare for them
Author: Mrs.Jana Bricco
Publisher: International Monetary Fund
ISBN: 1513517856
Category : Business & Economics
Languages : en
Pages : 49
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Book Description
The analysis of interconnectedness and contagion is an important part of the financial stability and risk assessment of a country’s financial system. This paper offers detailed and practical guidance on how to conduct a comprehensive analysis of interconnectedness and contagion for a country’s financial system under various circumstances. We survey current approaches at the IMF for analyzing interconnectedness within the interbank, cross-sector and cross-border dimensions through an overview and examples of the data and methodologies used in the Financial Sector Assessment Program. Finally, this paper offers practical advice on how to interpret results and discusses potential financial stability policy recommendations that can be drawn from this type of in-depth analysis.
Author: Mr.Seung M Choi
Publisher: International Monetary Fund
ISBN: 1484338472
Category : Business & Economics
Languages : en
Pages : 44
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Book Description
This paper examines whether the coordinated use of macroprudential policies can help lessen the incidence of banking crises. It is well-known that rapid domestic credit growth and house price growth positively influence the chances of a banking crisis. As well, a crisis in other countries with high trade and financial linkages raises the crisis probability. However, whether such “contagion effects” can operate to reduce crisis probabilities when highly linked countries execute macroprudential policies together has not been fully explored. A dataset documenting countries’ use of macroprudential tools suggests that a “coordinated” implementation of macroprudential policies across highly-linked countries can help to stem the risks of widespread banking crises, although this positive effect may take some time to materialize.
Author: Kunjumuhammed, Siraj Kariyilaparambu
Publisher: IGI Global
ISBN: 1668453444
Category : Business & Economics
Languages : en
Pages : 297
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Book Description
Corporate finance decisions showcase the responses of corporations to address challenges on both the demand and supply sides and the firm value chain. Corporate performance, strategies, and priorities have changed significantly since the pandemic. Understanding these changes and developing and implementing policy responses are crucial to success. Future Outlooks on Corporate Finance and Opportunities for Robust Economic Planning disseminates knowledge regarding corporate response during crises that contribute to a robust economic planning process. It examines the adjustments and strategic interventions that helped corporations mitigate challenges successfully. Covering topics such as corporate governance practices, global systemic risk interdependencies, and investment decisions, this premier reference source is an excellent resource for finance professionals, business executives and managers, financial officers, students and faculty of higher education, librarians, researchers, and academicians.
Author: International Monetary Fund. Monetary and Capital Markets Department
Publisher: International Monetary Fund
ISBN: 1498372937
Category : Business & Economics
Languages : en
Pages : 162
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Book Description
The current report finds that, despite an improvement in economic prospects in some key advanced economies, new challenges to global financial stability have arisen. The global financial system is being buffeted by a series of changes, including lower oil prices and, in some cases, diverging growth patterns and monetary policies. Expectations for rising U.S. policy rates sparked a significant appreciation of the U.S. dollar, while long term bond yields in many advanced economies have decreased—and have turned negative for almost a third of euro area sovereign bonds—on disinflation concerns and the prospect of continued monetary accommodation. Emerging markets are caught in these global cross currents, with some oil exporters and other facing new stability challenges, while others have gained more policy space as a result of lower fuel prices and reduced inflationary pressures. The report also examines changes in international banking since the global financial crisis and finds that these changes are likely to promote more stable bank lending in host countries. Finally, the report finds that the asset management industry needs to strengthen its oversight framework to address financial stability risks from incentive problems between end-investors and portfolio managers and the risk of runs due to liquidity mismatches.
Author: J. Doyne Farmer
Publisher: Cambridge University Press
ISBN: 1108906079
Category : Mathematics
Languages : en
Pages : 730
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Book Description
Stress tests are the most innovative regulatory tool to prevent and fight financial crises. Their use has fundamentally changed the modeling of financial systems, financial risk management in the public and private sector, and the policies designed to prevent and mitigate financial crises. When financial crises hit, stress tests take center stage. Despite their centrality to public policy, the optimal design and use of stress tests remains highly contested. Written by an international team of leading thinkers from academia, the public sector, and the private sector, this handbook comprehensively surveys and evaluates the state of play and charts the innovations that will determine the path ahead. It is a comprehensive and interdisciplinary resource that bridges theory and practice and places financial stress testing in its wider context. This guide is essential reading for researchers, practitioners, and policymakers working on financial risk management and financial regulation.
Author: Mr.Fabio Comelli
Publisher: International Monetary Fund
ISBN: 1484355288
Category : Business & Economics
Languages : en
Pages : 26
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Book Description
We compare how logit (fixed effects) and probit early warning systems (EWS) predict insample and out-of-sample currency crises in emerging markets (EMs). We look at episodes of currency crises that took place in 29 EMs between January 1995 and December 2012. Stronger real GDP growth rates and higher net foreign assets significantly reduce the probability of experiencing a currency crisis, while high levels of credit to the private sector increase it. We find that the logit and probit EWS out-of-sample performances are broadly similar, and that the EWS performance can be very sensitive both to the size of the estimation sample, and to the crisis definition employed. For macroeconomic policy purposes, we conclude that a currency crisis definition identifying more rather than less crisis episodes should be used, even if this may lead to the risk of issuing false alarms.
