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Comparing the Performance of Logit and Probit Early Warning Systems for Currency Crises in Emerging Market Economies

Comparing the Performance of Logit and Probit Early Warning Systems for Currency Crises in Emerging Market Economies »

Source: Comparing the Performance of Logit and Probit Early Warning Systems for Currency Crises in Emerging Market Economies

Volume/Issue: 2014/65

Series: IMF Working Papers

Author(s): Fabio Comelli

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 17 April 2014

ISBN: 9781484355282

Keywords: out-of-sample performance, currency crisis, crisis episodes, global financial crisis, General, out-of-sample performance.,

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...

The Behavior of Currencies during Risk-off Episodes1

The Behavior of Currencies during Risk-off Episodes1 »

Source: The Behavior of Currencies during Risk-off Episodes

Volume/Issue: 2013/8

Series: IMF Working Papers

Author(s): Reinout De Bock , and Irineu de Carvalho Filho

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 January 2013

ISBN: 9781557755308

Keywords: Risk-off episodes, safe haven currencies, exchange rate, currency markets, capital flows, global financial crisis,

Episodes of increased global risk aversion, also known as risk-off episodes, have become more frequent and severe since 2007. During these episodes, currency markets exhibit recurrent patterns, as the Japanese yen,...

Bank Funding Structures and Risk

Bank Funding Structures and Risk »

Source: Bank Funding Structures and Risk : Evidence From the Global Financial Crisis

Volume/Issue: 2012/29

Series: IMF Working Papers

Author(s): Pablo Federico , and Francisco Vazquez

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2012

ISBN: 9781463933142

Keywords: pre-crisis, bank failure, bank liquidity, global financial crisis, Financial Institutions and Services: Government Policy and Regulation, Bank Liquidity Creation, Basel Iii, Macro-prudential Regulations,

This paper analyzes the evolution of bank funding structures in the run up to the global financial crisis and studies the implications for financial stability, exploiting a bank-level dataset that covers about 11,0...

The Credit Boom in the EU New Member States

The Credit Boom in the EU New Member States »

Source: The Credit Boom in the EU New Member States : Bad Luck or Bad Policies?

Volume/Issue: 2010/130

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2010

ISBN: 9781455201136

Keywords: credit boom, sudden stop, global financial crisis, capital inflows, exchange rate, subsidiaries, foreign exchange, Financial Aspects of Economic Integration, Open Economy Macroeconomics, International Policy Coordination and Transmission

In the past decade, most of the EU New Member States experienced a severe credit-boom bust cycle. This paper argues that the credit boom-bust cycle was to a large extent the result of factors external to the region...

Comparing the Performance of Logit and Probit Early Warning Systems for Currency Crises in Emerging Market Economies

Comparing the Performance of Logit and Probit Early Warning Systems for Currency Crises in Emerging Market Economies »

Volume/Issue: 2014/65

Series: IMF Working Papers

Author(s): Fabio Comelli

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 17 April 2014

DOI: http://dx.doi.org/10.5089/9781484355282.001

ISBN: 9781484355282

Keywords: out-of-sample performance, currency crisis, crisis episodes, global financial crisis, General, out-of-sample performance.,

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...

The Behavior of Currencies during Risk-off Episodes

The Behavior of Currencies during Risk-off Episodes »

Volume/Issue: 2013/8

Series: IMF Working Papers

Author(s): Reinout De Bock , and Irineu de Carvalho Filho

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 January 2013

DOI: http://dx.doi.org/10.5089/9781557755308.001

ISBN: 9781557755308

Keywords: Risk-off episodes, safe haven currencies, exchange rate, currency markets, capital flows, global financial crisis,

Episodes of increased global risk aversion, also known as risk-off episodes, have become more frequent and severe since 2007. During these episodes, currency markets exhibit recurrent patterns, as the Japanese yen,...

Bank Funding Structures and Risk
			: Evidence From the Global Financial Crisis

Bank Funding Structures and Risk : Evidence From the Global Financial Crisis »

Volume/Issue: 2012/29

Series: IMF Working Papers

Author(s): Pablo Federico , and Francisco Vazquez

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2012

DOI: http://dx.doi.org/10.5089/9781463933142.001

ISBN: 9781463933142

Keywords: pre-crisis, bank failure, bank liquidity, global financial crisis, Financial Institutions and Services: Government Policy and Regulation, Bank Liquidity Creation, Basel Iii, Macro-prudential Regulations,

This paper analyzes the evolution of bank funding structures in the run up to the global financial crisis and studies the implications for financial stability, exploiting a bank-level dataset that covers about 11,0...

The Credit Boom in the EU New Member States
			: Bad Luck or Bad Policies?

The Credit Boom in the EU New Member States : Bad Luck or Bad Policies? »

Volume/Issue: 2010/130

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2010

DOI: http://dx.doi.org/10.5089/9781455201136.001

ISBN: 9781455201136

Keywords: credit boom, sudden stop, global financial crisis, capital inflows, exchange rate, subsidiaries, foreign exchange, Financial Aspects of Economic Integration, Open Economy Macroeconomics, International Policy Coordination and Transmission

In the past decade, most of the EU New Member States experienced a severe credit-boom bust cycle. This paper argues that the credit boom-bust cycle was to a large extent the result of factors external to the region...