Predicting Fiscal Crises
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Predicting Fiscal Crises
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Author : Ms.Svetlana Cerovic
language : en
Publisher: International Monetary Fund
Release Date : 2018-08-03
Predicting Fiscal Crises written by Ms.Svetlana Cerovic and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-08-03 with Business & Economics categories.
This paper identifies leading indicators of fiscal crises based on a large sample of countries at different stages of development over 1970-2015. Our results are robust to different methodologies and sample periods. Previous literature on early warning sistems (EWS) for fiscal crises is scarce and based on small samples of advanced and emerging markets, raising doubts about the robustness of the results. Using a larger sample, our analysis shows that both nonfiscal (external and internal imbalances) and fiscal variables help predict crises among advanced and emerging economies. Our models performed well in out-of-sample forecasting and in predicting the most recent crises, a weakness of EWS in general. We also build EWS for low income countries, which had been overlooked in the literature.
Predicting Fiscal Crises A Machine Learning Approach
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Author : Klaus-Peter Hellwig
language : en
Publisher: International Monetary Fund
Release Date : 2021-05-27
Predicting Fiscal Crises A Machine Learning Approach written by Klaus-Peter Hellwig and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-05-27 with Business & Economics categories.
In this paper I assess the ability of econometric and machine learning techniques to predict fiscal crises out of sample. I show that the econometric approaches used in many policy applications cannot outperform a simple heuristic rule of thumb. Machine learning techniques (elastic net, random forest, gradient boosted trees) deliver significant improvements in accuracy. Performance of machine learning techniques improves further, particularly for developing countries, when I expand the set of potential predictors and make use of algorithmic selection techniques instead of relying on a small set of variables deemed important by the literature. There is considerable agreement across learning algorithms in the set of selected predictors: Results confirm the importance of external sector stock and flow variables found in the literature but also point to demographics and the quality of governance as important predictors of fiscal crises. Fiscal variables appear to have less predictive value, and public debt matters only to the extent that it is owed to external creditors.
Predicting Fiscal Crises
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Author : Svetlana Cerovic
language : en
Publisher:
Release Date : 2018
Predicting Fiscal Crises written by Svetlana Cerovic and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
This paper identifies leading indicators of fiscal crises based on a large sample of countries at different stages of development over 1970-2015. Our results are robust to different methodologies and sample periods. Previous literature on early warning sistems (EWS) for fiscal crises is scarce and based on small samples of advanced and emerging markets, raising doubts about the robustness of the results. Using a larger sample, our analysis shows that both nonfiscal (external and internal imbalances) and fiscal variables help predict crises among advanced and emerging economies. Our models performed well in out-of-sample forecasting and in predicting the most recent crises, a weakness of EWS in general. We also build EWS for low income countries, which had been overlooked in the literature.
Predicting Financial Crises A Guide To Early Warning Systems
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Author : Pasquale De Marco
language : en
Publisher: Pasquale De Marco
Release Date : 2025-07-25
Predicting Financial Crises A Guide To Early Warning Systems written by Pasquale De Marco and has been published by Pasquale De Marco this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-07-25 with Business & Economics categories.
This book provides a comprehensive overview of the state-of-the-art in early warning systems (EWSs) for financial crises. It covers a wide range of topics, including: * The different types of financial crises and their early warning indicators * The empirical evidence on the performance of EWSs * The challenges in predicting financial crises * The policy implications of EWSs The book is written in a clear and concise style, making it suitable for a wide range of audiences, including: * Policymakers who need to be aware of the latest developments in EWSs * Academics who are interested in the latest research on financial crises * Financial market practitioners who need to be able to use EWSs to make informed decisions The book is a valuable resource for anyone who is interested in preventing financial crises. This book makes a significant contribution to the literature on EWSs for financial crises. It provides a comprehensive overview of the state-of-the-art in EWSs, and it offers a number of new insights into the challenges of predicting financial crises. The book is a valuable resource for anyone who is interested in preventing financial crises. If you like this book, write a review!
Predicting Financial Crises The Role Of Asset Prices
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Author : Tristan Hennig
language : en
Publisher: International Monetary Fund
Release Date : 2023-08-04
Predicting Financial Crises The Role Of Asset Prices written by Tristan Hennig and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-08-04 with Business & Economics categories.
We explore the early warning properties of a composite indicator which summarizes signals from a range of asset price growth and asset price volatility indicators to capture mispricing of risk in asset markets. Using a quarterly panel of 108 advanced and emerging economies over 1995-2017, we show that the combination of rapid asset price growth and low asset price volatility is a good predictor of future financial crises. Elevated levels of our indicator significantly increase the probability of entering a crisis within the next three years relative to normal times when the indicator is not elevated. The indicator outperforms credit-based early warning metrics, a result robust to prediction horizons, methodological choices, and income groups. Our results are consistent with the idea that measures based on asset prices can offer critical information about systemic risk levels to policymakers.
Does Financial Connectedness Predict Crises
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Author : Ms.Camelia Minoiu
language : en
Publisher: International Monetary Fund
Release Date : 2013-12-24
Does Financial Connectedness Predict Crises written by Ms.Camelia Minoiu and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-24 with Business & Economics categories.
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.
Fractal Approaches For Modeling Financial Assets And Predicting Crises
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Author : Nekrasova, Inna
language : en
Publisher: IGI Global
Release Date : 2018-02-09
Fractal Approaches For Modeling Financial Assets And Predicting Crises written by Nekrasova, Inna and has been published by IGI Global this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-02-09 with Business & Economics categories.
In an ever-changing economy, market specialists strive to find new ways to evaluate the risks and potential reward of economic ventures. They start by assessing the importance of human reaction during the economic planning process and put together systems to measure financial markets and their longevity. Fractal Approaches for Modeling Financial Assets and Predicting Crises is a critical scholarly resource that examines the fractal structure and long-term memory of the financial markets in order to predict prices of financial assets and financial crises. Featuring coverage on a broad range of topics, such as computational process models, chaos theory, and game theory, this book is geared towards academicians, researchers, and students seeking current research on pricing and predicting financial crises.
Financial Crises
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Author : Mr.Stijn Claessens
language : en
Publisher: International Monetary Fund
Release Date : 2014-02-19
Financial Crises written by Mr.Stijn Claessens and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-02-19 with Business & Economics categories.
The lingering effects of the economic crisis are still visible—this shows a clear need to improve our understanding of financial crises. This book surveys a wide range of crises, including banking, balance of payments, and sovereign debt crises. It begins with an overview of the various types of crises and introduces a comprehensive database of crises. Broad lessons on crisis prevention and management, as well as the short-term economic effects of crises, recessions, and recoveries, are discussed.
Surrogate Data Models Interpreting Large Scale Machine Learning Crisis Prediction Models
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Author : Jorge Chan-Lau
language : en
Publisher: International Monetary Fund
Release Date : 2023-02-24
Surrogate Data Models Interpreting Large Scale Machine Learning Crisis Prediction Models written by Jorge Chan-Lau and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-02-24 with Business & Economics categories.
Machine learning models are becoming increasingly important in the prediction of economic crises. The models, however, use datasets comprising a large number of predictors (features) which impairs model interpretability and their ability to provide adequate guidance in the design of crisis prevention and mitigation policies. This paper introduces surrogate data models as dimensionality reduction tools in large-scale crisis prediction models. The appropriateness of this approach is assessed by their application to large-scale crisis prediction models developed at the IMF. The results are consistent with economic intuition and validate the use of surrogates as interpretability tools.
Assessing Fiscal Stress
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Author : Iva Petrova
language : en
Publisher: International Monetary Fund
Release Date : 2011-05-01
Assessing Fiscal Stress written by Iva Petrova and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-05-01 with Business & Economics categories.
This paper develops a new index which provides early warning signals of fiscal sustainability problems for advanced and emerging economies. Unlike previous studies, the index assesses the determinants of fiscal stress periods, covering public debt default as well as near-default events. The fiscal stress index depends on a parsimonious set of fiscal indicators, aggregated using the approach proposed by Kaminsky, Lizondo and Reinhart (1998). The index is used to assess the build up of fiscal stress over time since the mid-1990s in advanced and emering economies. Fiscal stress has increased recently to record-high levels in advanced countries, reflecting raising solvency risks and financing needs. In emerging economies, risks are lower than in mature economies owing to sounder fiscal fundamentals, but fiscal stress remains higher than before the crisis.