Predicting Sovereign Debt Crises
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Predicting Sovereign Debt Crises
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Author : Paolo Manasse
language : en
Publisher: International Monetary Fund
Release Date : 2003-11-01
Predicting Sovereign Debt Crises written by Paolo Manasse 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 2003-11-01 with Business & Economics categories.
We develop an early-warning model of sovereign debt crises. A country is defined to be in a debt crisis if it is classified as being in default by Standard & Poor's, or if it has access to nonconcessional IMF financing in excess of 100 percent of quota. By means of logit and binary recursive tree analysis, we identify macroeconomic variables reflecting solvency and liquidity factors that predict a debt-crisis episode one year in advance. The logit model predicts 74 percent of all crises entries while sending few false alarms, and the recursive tree 89 percent while sending more false alarms.
Predicting Sovereign Debt Crises
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Author : Paolo Manasse
language : en
Publisher:
Release Date : 2006
Predicting Sovereign Debt Crises written by Paolo Manasse and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
We develop an early-warning model of sovereign debt crises. A country is defined to be in a debt crisis if it is classified as being in default by Standard amp; Poor's, or if it has access to nonconcessional IMF financing in excess of 100 percent of quota. By means of logit and binary recursive tree analysis, we identify macroeconomic variables reflecting solvency and liquidity factors that predict a debt-crisis episode one year in advance. The logit model predicts 74 percent of all crises entries while sending few false alarms, and the recursive tree 89 percent while sending more false alarms.
Predicting Emerging Market Sovereign Debt Crises Using Data Mining Techniques
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Author : Milos M. Markovic
language : en
Publisher:
Release Date : 2016
Predicting Emerging Market Sovereign Debt Crises Using Data Mining Techniques written by Milos M. Markovic and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
As any stand-alone indicators are proving ineffective in estimating country's fiscal soundness and particularly debt crisis probability, we identify the need for building a model capable of capturing the indicators' context dependence and interactions. We utilize three data mining modeling techniques - Classification and Regression Trees (CART), Random Forests (RF) and Stochastic Gradient Boosting or Boosted Trees in search for optimal model for predicting sovereign debt crisis. We compare their predictive performance and find Boosted Trees model dramatically outperforming others with overall accuracy of 95% and 98% overall and debt crisis episode prediction accuracy, respectively. Macroeconomic and solvency variables show the highest predictive power (i.e. importance) in the most successful model - in particular reserves over total external debt, external public debt over GDP, M2 over reserves, total external debt over GDP and official exchange rate depreciation.
Predicting Sovereign Debt Crises Using Artificial Neural Networks
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Author : Marco Fioramanti
language : en
Publisher:
Release Date : 2008
Predicting Sovereign Debt Crises Using Artificial Neural Networks written by Marco Fioramanti and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Recent episodes of financial crisis have revived interest in developing models able to signal their occurrence in timely manner. The literature has developed both parametric and non-parametric models, the so-called Early Warning Systems, to predict these crises. Using data related to sovereign debt crises which occurred in developing countries from 1980 to 2004, this paper shows that further progress can be achieved by applying a less developed non-parametric method based on artificial neural networks (ANN). Thanks to the high flexibility of neural networks and their ability to approximate non-linear relationship, an ANN-based early warning system can, under certain conditions, outperform more consolidated methods.
The Dynamics Of Sovereign Debt Crises And Bailouts
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Author : Mr.Francisco Roch
language : en
Publisher: International Monetary Fund
Release Date : 2016-09-06
The Dynamics Of Sovereign Debt Crises And Bailouts written by Mr.Francisco Roch 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 2016-09-06 with Business & Economics categories.
Motivated by the recent European debt crisis, this paper investigates the scope for a bailout guarantee in a sovereign debt crisis. Defaults may arise from negative income shocks, government impatience or a "sunspot"-coordinated buyers strike. We introduce a bailout agency, and characterize the minimal actuarially fair intervention that guarantees the no-buyers-strike fundamental equilibrium, relying on the market for residual financing. The intervention makes it cheaper for governments to borrow, inducing them borrow more, leaving default probabilities possibly rather unchanged. The maximal backstop will be pulled precisely when fundamentals worsen.
Rules Of Thumb For Sovereign Debt Crises
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Author : Paolo Manasse
language : en
Publisher: INTERNATIONAL MONETARY FUND
Release Date : 2005-03-01
Rules Of Thumb For Sovereign Debt Crises written by Paolo Manasse 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 2005-03-01 with Business & Economics categories.
This paper contains an empirical investigation of the set of economic and political conditions that are associated with a likely occurrence of a sovereign debt crisis. We use a new statistical approach (Binary Recursive Tree) that allows us to derive a collection of "rules of thumb" that help identify the typical characteristics of defaulters. We find that not all crises are equal: they differ depending on whether the government faces insolvency, illiquidity, or various macroeconomic risks. We also characterize the set of fundamentals that can be associated with a relatively "risk free" zone. This classification is important for discussing appropriate policy options to prevent crises and improve response time and prediction.
Sovereign Debt Defaults And Financing Needs
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Author : Mark Kruger
language : en
Publisher: International Monetary Fund
Release Date : 2004-03
Sovereign Debt Defaults And Financing Needs written by Mark Kruger 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 2004-03 with Business & Economics categories.
We construct a financial vulnerability indicator that is consistent with the theoretical literature on determinants of defaults. It is based on the amount of new foreign financing that is needed to avoid a default or an import adjustment, expressed as a proportion of the country's sources of foreign currency. As the need for new foreign financing increases, so does a country's financial vulnerability. The indicator has a higher correlation with default episodes than other indicators used in previous studies. In addition, the level at which it leads to a high probability of default is comparable across countries.
When Sovereigns Go Bankrupt
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Author : Norbert Gaillard
language : en
Publisher: Springer
Release Date : 2014-08-25
When Sovereigns Go Bankrupt written by Norbert Gaillard and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-08-25 with Business & Economics categories.
The public debt crisis that Eurozone countries have experienced since 2010 has been accompanied by a resurgence of sovereign risk. Greece was obliged to restructure its debt in 2012. The credit position of even the wealthy countries is shakier than at any time since the Great Depression. Now more than ever it is essential to understand sovereign risk because the default of a country, or even its lack of credibility, is bound to jeopardize political stability and weaken the credit standing of all other economic actors. This book reviews and analyzes the different means used to forestall and protect against sovereign defaults. In light of the Eurozone’s 2010-2012 sovereign debt crisis, this book also emphasizes the roots of sovereign creditworthiness. Chapter 1 establishes a typology of sovereign defaults. A sovereign “bankruptcy” may take many forms (debt repudiation, moratorium, restructuring, etc.). Chapter 2 presents the different contractual and legal tools used to protect against sovereign defaults. Chapter 3 investigates how some investors have been able to interfere with the debtor’s economic policy by insisting that measures be taken to reduce the risk of default in the short and medium term. Such interference can be direct or may be more subtle. There is a specific focus on the conditionality imposed by the International Monetary Fund. Chapter 4 studies the various tools that investors can use to discriminate among borrowers and forecast debt crises (bond yields and spreads as well as ratings provided by Fitch, Moody’s, Standard & Poor’s, and Euromoney Country Risk). Chapter 4 also demonstrates that sovereign debtors must overcome seven types of risk in order to preserve their creditworthiness: natural disaster, geopolitical risk, institutional and political risk, economic risk, monetary and exchange rate risk, fiscal and tax-system risk, and debt-related risk.
Sovereign Debt
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Author : Vinod K. Aggarwal
language : en
Publisher: Chatham House (Formerly Riia)
Release Date : 2003
Sovereign Debt written by Vinod K. Aggarwal and has been published by Chatham House (Formerly Riia) this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Debt relief categories.
This work examines the ongoing debate on resolving sovereign debt defaults and alleviating the debt burden of heavily indebted poor countries. Concentrating primarily on the period from the 1982 and focusing on money owed to both the public and the private sector, the volume examines the origins of debt crises, rescheduling tactics, and efforts to create a more enduring solution to the problem of coping with debt, as well as its efficacy. Policy recommendations are put forward for dealing with the onerous problem of debt default and rescheduling.
Financial And Sovereign Debt Crises
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Author : Ms.Carmen Reinhart
language : en
Publisher: International Monetary Fund
Release Date : 2013-12-24
Financial And Sovereign Debt Crises written by Ms.Carmen Reinhart 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.
Even after one of the most severe multi-year crises on record in the advanced economies, the received wisdom in policy circles clings to the notion that high-income countries are completely different from their emerging market counterparts. The current phase of the official policy approach is predicated on the assumption that debt sustainability can be achieved through a mix of austerity, forbearance and growth. The claim is that advanced countries do not need to resort to the standard toolkit of emerging markets, including debt restructurings and conversions, higher inflation, capital controls and other forms of financial repression. As we document, this claim is at odds with the historical track record of most advanced economies, where debt restructuring or conversions, financial Repression, and a tolerance for higher inflation, or a combination of these were an integral part of the resolution of significant past debt overhangs.