Distinguishing between Observationally Equivalent Theories of Crises
The objective of this paper is to empirically test across alternative, apparently observationally equivalent theories of currency crises. Theories of crises are often difficult to distinguish from each other based on the behavior of commonly used predictors. Using a comprehensive data set on gross external assets and liabilities for 167 countries created by the World Bank's Latin America and the Caribbean Region and the Development Research Group, this study is able to make a significant move toward redressing this shortcoming. It focuses on identifying potential crisis predictors, as well as testing the validity of the distinct transmission mechanisms implied by various theories of currency crisis. Evidence is presented in support of insurance-based models, suggesting that proxies for contingent liability accumulation are effective crisis predictors.
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dig-okr-10986192022021-04-23T14:03:42Z Distinguishing between Observationally Equivalent Theories of Crises Shankar, Rashmi ADVERSE SELECTION ASSETS ASYMMETRIC INFORMATION BALANCE OF PAYMENTS BALANCE SHEET BANK ASSETS BANK GUARANTEES BANK RUNS BANKING CRISES BANKING CRISIS BANKING SECTOR BANKING SYSTEM CAPITAL ACCOUNT LIBERALIZATION CAPITAL CONTROLS CAPITAL FLIGHT CAPITAL FLOWS CAPITAL INFLOWS CENTRAL BANK CONTINGENT LIABILITIES CURRENCY CRISES DEBT DEPOSIT INSURANCE DEVALUATION DEVELOPED COUNTRIES DOMESTIC CREDIT DOMESTIC INVESTMENT EMERGING MARKETS EMPLOYMENT EQUILIBRIUM EXCHANGE RATE EXPROPRIATION FINANCIAL CRISES FINANCIAL CRISIS FINANCIAL LIBERALIZATION FINANCIAL SECTOR FOREIGN ASSETS FOREIGN BANKS FOREIGN CAPITAL GDP GDP DEFLATOR GROWTH RATE ILLIQUIDITY IMPLICIT GUARANTEES IMPORTS INEFFICIENCY INFLATION INSOLVENCY INSURANCE INTEREST RATE INTEREST RATES INTERNATIONAL RESERVES LENDER OF LAST RESORT LIQUID ASSETS LIQUIDITY M2 MACROECONOMIC POLICIES MAXIMUM LIKELIHOOD ESTIMATION MONETARY AUTHORITIES MONETARY POLICY MORAL HAZARD POLICY MAKERS PORTFOLIO PUBLIC DEBT RANDOM WALK REAL GDP REAL WAGES RECESSION STOCK PRICES TIME SERIES TRANSMISSION MECHANISM VOLATILITY VULNERABILITY The objective of this paper is to empirically test across alternative, apparently observationally equivalent theories of currency crises. Theories of crises are often difficult to distinguish from each other based on the behavior of commonly used predictors. Using a comprehensive data set on gross external assets and liabilities for 167 countries created by the World Bank's Latin America and the Caribbean Region and the Development Research Group, this study is able to make a significant move toward redressing this shortcoming. It focuses on identifying potential crisis predictors, as well as testing the validity of the distinct transmission mechanisms implied by various theories of currency crisis. Evidence is presented in support of insurance-based models, suggesting that proxies for contingent liability accumulation are effective crisis predictors. 2014-08-01T18:24:40Z 2014-08-01T18:24:40Z 2002-11 http://documents.worldbank.org/curated/en/2002/11/2075371/distinguishing-between-observationally-equivalent-theories-crises http://hdl.handle.net/10986/19202 English en_US Policy Research Working Paper;No. 2926 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ World Bank, Washington, DC Publications & Research :: Policy Research Working Paper Publications & Research Latin America & Caribbean Caribbean Latin America |
| institution |
Banco Mundial |
| collection |
DSpace |
| country |
Estados Unidos |
| countrycode |
US |
| component |
Bibliográfico |
| access |
En linea |
| databasecode |
dig-okr |
| tag |
biblioteca |
| region |
America del Norte |
| libraryname |
Biblioteca del Banco Mundial |
| language |
English en_US |
| topic |
ADVERSE SELECTION ASSETS ASYMMETRIC INFORMATION BALANCE OF PAYMENTS BALANCE SHEET BANK ASSETS BANK GUARANTEES BANK RUNS BANKING CRISES BANKING CRISIS BANKING SECTOR BANKING SYSTEM CAPITAL ACCOUNT LIBERALIZATION CAPITAL CONTROLS CAPITAL FLIGHT CAPITAL FLOWS CAPITAL INFLOWS CENTRAL BANK CONTINGENT LIABILITIES CURRENCY CRISES DEBT DEPOSIT INSURANCE DEVALUATION DEVELOPED COUNTRIES DOMESTIC CREDIT DOMESTIC INVESTMENT EMERGING MARKETS EMPLOYMENT EQUILIBRIUM EXCHANGE RATE EXPROPRIATION FINANCIAL CRISES FINANCIAL CRISIS FINANCIAL LIBERALIZATION FINANCIAL SECTOR FOREIGN ASSETS FOREIGN BANKS FOREIGN CAPITAL GDP GDP DEFLATOR GROWTH RATE ILLIQUIDITY IMPLICIT GUARANTEES IMPORTS INEFFICIENCY INFLATION INSOLVENCY INSURANCE INTEREST RATE INTEREST RATES INTERNATIONAL RESERVES LENDER OF LAST RESORT LIQUID ASSETS LIQUIDITY M2 MACROECONOMIC POLICIES MAXIMUM LIKELIHOOD ESTIMATION MONETARY AUTHORITIES MONETARY POLICY MORAL HAZARD POLICY MAKERS PORTFOLIO PUBLIC DEBT RANDOM WALK REAL GDP REAL WAGES RECESSION STOCK PRICES TIME SERIES TRANSMISSION MECHANISM VOLATILITY VULNERABILITY ADVERSE SELECTION ASSETS ASYMMETRIC INFORMATION BALANCE OF PAYMENTS BALANCE SHEET BANK ASSETS BANK GUARANTEES BANK RUNS BANKING CRISES BANKING CRISIS BANKING SECTOR BANKING SYSTEM CAPITAL ACCOUNT LIBERALIZATION CAPITAL CONTROLS CAPITAL FLIGHT CAPITAL FLOWS CAPITAL INFLOWS CENTRAL BANK CONTINGENT LIABILITIES CURRENCY CRISES DEBT DEPOSIT INSURANCE DEVALUATION DEVELOPED COUNTRIES DOMESTIC CREDIT DOMESTIC INVESTMENT EMERGING MARKETS EMPLOYMENT EQUILIBRIUM EXCHANGE RATE EXPROPRIATION FINANCIAL CRISES FINANCIAL CRISIS FINANCIAL LIBERALIZATION FINANCIAL SECTOR FOREIGN ASSETS FOREIGN BANKS FOREIGN CAPITAL GDP GDP DEFLATOR GROWTH RATE ILLIQUIDITY IMPLICIT GUARANTEES IMPORTS INEFFICIENCY INFLATION INSOLVENCY INSURANCE INTEREST RATE INTEREST RATES INTERNATIONAL RESERVES LENDER OF LAST RESORT LIQUID ASSETS LIQUIDITY M2 MACROECONOMIC POLICIES MAXIMUM LIKELIHOOD ESTIMATION MONETARY AUTHORITIES MONETARY POLICY MORAL HAZARD POLICY MAKERS PORTFOLIO PUBLIC DEBT RANDOM WALK REAL GDP REAL WAGES RECESSION STOCK PRICES TIME SERIES TRANSMISSION MECHANISM VOLATILITY VULNERABILITY |
| spellingShingle |
ADVERSE SELECTION ASSETS ASYMMETRIC INFORMATION BALANCE OF PAYMENTS BALANCE SHEET BANK ASSETS BANK GUARANTEES BANK RUNS BANKING CRISES BANKING CRISIS BANKING SECTOR BANKING SYSTEM CAPITAL ACCOUNT LIBERALIZATION CAPITAL CONTROLS CAPITAL FLIGHT CAPITAL FLOWS CAPITAL INFLOWS CENTRAL BANK CONTINGENT LIABILITIES CURRENCY CRISES DEBT DEPOSIT INSURANCE DEVALUATION DEVELOPED COUNTRIES DOMESTIC CREDIT DOMESTIC INVESTMENT EMERGING MARKETS EMPLOYMENT EQUILIBRIUM EXCHANGE RATE EXPROPRIATION FINANCIAL CRISES FINANCIAL CRISIS FINANCIAL LIBERALIZATION FINANCIAL SECTOR FOREIGN ASSETS FOREIGN BANKS FOREIGN CAPITAL GDP GDP DEFLATOR GROWTH RATE ILLIQUIDITY IMPLICIT GUARANTEES IMPORTS INEFFICIENCY INFLATION INSOLVENCY INSURANCE INTEREST RATE INTEREST RATES INTERNATIONAL RESERVES LENDER OF LAST RESORT LIQUID ASSETS LIQUIDITY M2 MACROECONOMIC POLICIES MAXIMUM LIKELIHOOD ESTIMATION MONETARY AUTHORITIES MONETARY POLICY MORAL HAZARD POLICY MAKERS PORTFOLIO PUBLIC DEBT RANDOM WALK REAL GDP REAL WAGES RECESSION STOCK PRICES TIME SERIES TRANSMISSION MECHANISM VOLATILITY VULNERABILITY ADVERSE SELECTION ASSETS ASYMMETRIC INFORMATION BALANCE OF PAYMENTS BALANCE SHEET BANK ASSETS BANK GUARANTEES BANK RUNS BANKING CRISES BANKING CRISIS BANKING SECTOR BANKING SYSTEM CAPITAL ACCOUNT LIBERALIZATION CAPITAL CONTROLS CAPITAL FLIGHT CAPITAL FLOWS CAPITAL INFLOWS CENTRAL BANK CONTINGENT LIABILITIES CURRENCY CRISES DEBT DEPOSIT INSURANCE DEVALUATION DEVELOPED COUNTRIES DOMESTIC CREDIT DOMESTIC INVESTMENT EMERGING MARKETS EMPLOYMENT EQUILIBRIUM EXCHANGE RATE EXPROPRIATION FINANCIAL CRISES FINANCIAL CRISIS FINANCIAL LIBERALIZATION FINANCIAL SECTOR FOREIGN ASSETS FOREIGN BANKS FOREIGN CAPITAL GDP GDP DEFLATOR GROWTH RATE ILLIQUIDITY IMPLICIT GUARANTEES IMPORTS INEFFICIENCY INFLATION INSOLVENCY INSURANCE INTEREST RATE INTEREST RATES INTERNATIONAL RESERVES LENDER OF LAST RESORT LIQUID ASSETS LIQUIDITY M2 MACROECONOMIC POLICIES MAXIMUM LIKELIHOOD ESTIMATION MONETARY AUTHORITIES MONETARY POLICY MORAL HAZARD POLICY MAKERS PORTFOLIO PUBLIC DEBT RANDOM WALK REAL GDP REAL WAGES RECESSION STOCK PRICES TIME SERIES TRANSMISSION MECHANISM VOLATILITY VULNERABILITY Shankar, Rashmi Distinguishing between Observationally Equivalent Theories of Crises |
| description |
The objective of this paper is to
empirically test across alternative, apparently
observationally equivalent theories of currency crises.
Theories of crises are often difficult to distinguish from
each other based on the behavior of commonly used
predictors. Using a comprehensive data set on gross external
assets and liabilities for 167 countries created by the
World Bank's Latin America and the Caribbean Region and
the Development Research Group, this study is able to make a
significant move toward redressing this shortcoming. It
focuses on identifying potential crisis predictors, as well
as testing the validity of the distinct transmission
mechanisms implied by various theories of currency crisis.
Evidence is presented in support of insurance-based models,
suggesting that proxies for contingent liability
accumulation are effective crisis predictors. |
| format |
Publications & Research :: Policy Research Working Paper |
| topic_facet |
ADVERSE SELECTION ASSETS ASYMMETRIC INFORMATION BALANCE OF PAYMENTS BALANCE SHEET BANK ASSETS BANK GUARANTEES BANK RUNS BANKING CRISES BANKING CRISIS BANKING SECTOR BANKING SYSTEM CAPITAL ACCOUNT LIBERALIZATION CAPITAL CONTROLS CAPITAL FLIGHT CAPITAL FLOWS CAPITAL INFLOWS CENTRAL BANK CONTINGENT LIABILITIES CURRENCY CRISES DEBT DEPOSIT INSURANCE DEVALUATION DEVELOPED COUNTRIES DOMESTIC CREDIT DOMESTIC INVESTMENT EMERGING MARKETS EMPLOYMENT EQUILIBRIUM EXCHANGE RATE EXPROPRIATION FINANCIAL CRISES FINANCIAL CRISIS FINANCIAL LIBERALIZATION FINANCIAL SECTOR FOREIGN ASSETS FOREIGN BANKS FOREIGN CAPITAL GDP GDP DEFLATOR GROWTH RATE ILLIQUIDITY IMPLICIT GUARANTEES IMPORTS INEFFICIENCY INFLATION INSOLVENCY INSURANCE INTEREST RATE INTEREST RATES INTERNATIONAL RESERVES LENDER OF LAST RESORT LIQUID ASSETS LIQUIDITY M2 MACROECONOMIC POLICIES MAXIMUM LIKELIHOOD ESTIMATION MONETARY AUTHORITIES MONETARY POLICY MORAL HAZARD POLICY MAKERS PORTFOLIO PUBLIC DEBT RANDOM WALK REAL GDP REAL WAGES RECESSION STOCK PRICES TIME SERIES TRANSMISSION MECHANISM VOLATILITY VULNERABILITY |
| author |
Shankar, Rashmi |
| author_facet |
Shankar, Rashmi |
| author_sort |
Shankar, Rashmi |
| title |
Distinguishing between Observationally Equivalent Theories of Crises |
| title_short |
Distinguishing between Observationally Equivalent Theories of Crises |
| title_full |
Distinguishing between Observationally Equivalent Theories of Crises |
| title_fullStr |
Distinguishing between Observationally Equivalent Theories of Crises |
| title_full_unstemmed |
Distinguishing between Observationally Equivalent Theories of Crises |
| title_sort |
distinguishing between observationally equivalent theories of crises |
| publisher |
World Bank, Washington, DC |
| publishDate |
2002-11 |
| url |
http://documents.worldbank.org/curated/en/2002/11/2075371/distinguishing-between-observationally-equivalent-theories-crises http://hdl.handle.net/10986/19202 |
| work_keys_str_mv |
AT shankarrashmi distinguishingbetweenobservationallyequivalenttheoriesofcrises |
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