Forecasting Financial Crises in Emerging Market Economies

This article identifies six fundamental indicators that might predict a financial crisis similar to the one that affected the emerging markets of Southeast Asia. Our empirical analysis shows that the 1997 Asian crisis could have been predicted. Probit estimation reveals that a small number of common indicators can forecast a financial crisis well. The estimation gives estimates that are robust to either cross-section or panel data. We suggest an aggregate indicator that combines all the individual indicators and calculates the optimal thresholds for the indicators. This aggregate indicator has similar predictive properties and reduces the calculations to determine the probability of crisis.     

Dual Exchange Markets for Countries Facing Financial Crises

In dual exchange markets there is an exchange market for capital transactions separate from the foreign exchange market for current transactions. Developing countries experiencing financial crises should avoid both a substantial decline in the exchange value of their currency and a reduction of their imports to the point at which their production and consumption of essentials are grossly impaired. It is suggested that a temporary system of dual exchange markets will prevent capital outflow from reducing foreign exchange for imports of goods and services. Both markets should be free of exchange controls except those needed to maintain separation of the markets.     

Financial and Political Institutional Problems as Instigators of Banking Crises

The question of why some countries suffer from crises, while others escape them, is challenging. Empirical evidence in the literature suggests that countries with stronger financial institutions are more able to withstand crises. This study empirically investigates whether the probability of crisis depends on the political institutional structure. More specifically, we question whether the failure to democratize polity successfully creates an environment for financial institutional weaknesses, which have the potential to lead to banking crises. It is found that the effectiveness of the prudent supervision of the financial sector in lowering the probability of banking crises is more pronounced in more democratized countries and when the political framework is more institutionalized.     

Global Financial Crises and Time‐Varying Volatility Comovement in World Equity Markets

This paper studies volatility comovement in world equity markets between 1994 and 2008. Global volatility factors are extracted from a panel of monthly volatility proxies relating to 25 developed and 20 emerging stock markets. A dynamic factor model (FM) is estimated using two‐year rolling‐window regressions. The FM's time‐varying variance shares of global factors map variations in volatility comovement over time and across countries. The results indicate that global volatility linkages are significantly stronger during financial crisis periods in Asia (1997‐1998), Brazil (1999), Russia (1998) and the United States (2000, 2007‐2008). Emerging markets are weakly synchronised with world volatility in comparison with developed markets. In particular, emerging market comovement is significantly lower than developed market comovement during the Asian and US sub‐prime crises. This suggests a degree of decoupling of emerging markets from the global drivers of volatility during these periods.     

新兴市场的汇率制度选择、金融约束与经济增长

本文通过构造一个基于金融环境约束的开放经济体跨期模型,对不同汇率制度面临不同名义冲击下的经济绩效进行了比较,结果发现由于浮动汇率对于宏观经济的冲击吸收能力依赖于该国金融环境的发展条件,因此新兴市场的汇率制度退出和转轨决策应当着眼于克服金融约束的关键性门槛.本文的跨国经验分析也进一步证实了模型的结论.     

金融危机对新兴市场国家贸易影响的动态效应研究

在经济全球化的大背景下,金融危机严重影响部分国家甚至全球的经济运行。作为目前全球增长的最大贡献力量,以出口导向为主要特征的新兴市场国家,面临金融危机时常表现出高频性和脆弱性。文章通过引力模型的实证分析得出：危机爆发年中,货币贬值都对进口和出口产生消极影响,且对进口的影响程度大于出口;危机爆发接下来的两年期间,货币贬值促进出口增长,进口依然下降。另外,金融危机对国际贸易的冲击反应表明：总体上,危机期间,进口不断下降,而对出口的影响轨迹在1980-1995年间呈＂U＂型,在1996-2007年间表现为短期即刻下降,而后迅速上升,第二年后恢复并超过危机前正常水平。     

Financial Liberalization and Stock Market Efficiency: Causality Analysis of Emerging Markets

This paper studies the long- and short-run relationship between financial liberalization and stock market efficiency. It expands the extant body of knowledge by investigating Granger causality relationship applying mean group, common correlated effect mean group and common correlated effect pooled estimator to balanced panel data for 27 emerging markets over the period 1996–2011. We find evidence of financial liberalization Granger causes stock market efficiency, which is consistent with liberalization leads to efficiency hypothesis. Subsequently, our work makes a fresh contribution to the literature by focusing on informational efficiency of stock markets rather than financial development. Furthermore, we find that a negative long-term relationship between financial liberalization and stock return autocorrelation coexists with a positive short-term relationship between the two. The findings that financial liberalization, which has a deteriorated effect on stock market efficiency in the short-run, but positive impact in the long-run, allow us to draw an analogy similar to the J-curve hypothesis.     

Robustness of Forecasting Financial Crises in Emerging Market Economies with Data Revisions—A Note

Data revisions routinely introduced by the World Bank can lead to significant revisions in empirical results. We show this by re-estimating our aggregate indicator for predicting the 1997 Asian crisis utilizing the 1999 and 2004 updates of the 1996 World Bank data and comparing these results to those we obtained (this Journal, 2000) for predicting the same event using the original, unrevised, 1996 World Bank data. Since most data-gathering organizations routinely revise their data, this may represent a much greater problem for policy makers than might be recognized.     

Twin Banking and Currency Crises and Monetary Policy

Currency crises are found to be strongly associated with banking crises. This paper constructs a twin banking and currency crisis model by introducing the banking sector into the currency crisis model and examining the case in which the exchange rate risk is located in the banking system. The model shows that an unanticipated shock caused by the shift of investors’ expectations and/or a negative productivity shock can trigger a twin banking and currency crisis. To achieve both financial stability and economic stability, the central bank uses multiple monetary policy instruments. In contrast to the conventional policy recommendation in response to a currency crisis, i.e., interest rate hike, we find that when the exchange rate risk is located in the banking sector, the monetary policy option to prevent a twin crisis is to lower the policy interest rate and the reserve requirement ratio and raise the interest rate on reserves. Our results show that the location of the exchange rate risk matters for the choice of an appropriate monetary policy response during a crisis.     

Financial Crises and Current Account Surpluses

Atlantic Economic Journal - The Nordic countries of Denmark, Finland, Norway and Sweden have had persistent current account surpluses in recent decades. While oil production set Norway apart, the...     

Banking Sector Fragility and the Transmission of Currency Crises

We assess whether, complementary to trade and financial linkages, banking sector fragility helps explain the transmission of currency crises. We attempt to strike a balance between the precision of measurement of banking sector fragility on the one hand and its consistent measurement across various crisis episodes on the other. We find that while the role of trade and financial linkages is robust over time, the independent role of banking sector fragility is rather weak and unstable across crisis episodes. Consequently it is difficult to extrapolate observed banking fragility transmission channels from one crisis to another. As a corollary we cannot conclude that during future crisis episodes economies characterized by fragile banking sectors are more prone to crisis transmission.     

从金融全球化的不平衡发展看次贷危机根源

本文利用131个国家和地区在1970～2006年的金融数据,对美国、其它发达国家、新兴市场国家和发展中国家参与金融全球化的进程中资产和负债的总量增长、结构演变和分配格局进行了量化分析,揭示了当前世界金融体系不平衡发展的动态路径和数量特征,并由此探讨次贷危机的宏观层面的根源。     

Federal Reserve Communications and Emerging Equity Markets

Work on the impact of U.S. monetary policy on emerging financial markets mostly focuses on official target rate announcements; empirical evidence using data on informal communication channels, such as speeches, is scant. Employing a unique data set covering formal and informal communication channels in a generalized autoregressive conditional heteroskedasticity model framework, we provide comprehensive evidence on the effects of U.S. monetary policy on 17 emerging equity market returns over the period 1998–2009. We find, first, that both monetary policy actions and communications have a significant impact on market returns. Second, target rate change surprises are an important driver of emerging market returns. However, informal communications—particularly when taking into account their higher frequency—have a larger (cumulative) influence on returns than do target rate surprises. Third, during the recent financial crisis, central bank communication played an even more pronounced role. Finally, American emerging markets react more to communications than do non‐American markets.     

阿根廷金融危机的成因及启示

2001年阿根廷爆发了严重的经济危机、金融危机和社会动乱，危机使阿人民生活水平大幅下降。分析阿金融危机产生的原因，从中吸取有益的教训和启示，对发展中国家意义重大。