Insurance and liquidity: panel evidence
"The author presents evidence that balance sheet effects are critical determinants of both the likelihood of a crisis and of income losses following a crisis. She tests the validity of "insurance" and "liquidity" models of currency crisis. Both models predict that the occurr...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
[Washington, D.C]
World Bank
[2005]
|
| Schriftenreihe: | Policy research working paper
3648 |
| Schlagworte: | |
| Online-Zugang: | BSB01 EUV01 HTW01 FHI01 IOS01 Volltext |
| Zusammenfassung: | "The author presents evidence that balance sheet effects are critical determinants of both the likelihood of a crisis and of income losses following a crisis. She tests the validity of "insurance" and "liquidity" models of currency crisis. Both models predict that the occurrence of a balance of payments crisis is conditional on the health of the nation's accounts in relation to the rest of the world. Problems in the balance sheet either cause a financial crisis that develops into a run on the central bank, or generate a run on the central bank once contingent liabilities exceed reserves and the yield differential moves against domestic assets. Estimations of crisis likelihoods based on several specifications of single and simultaneous equation probit models confirm that output losses following the crisis are persistent and conditional on the balance sheet indicator, that is, the ratio of the stock of gross external liabilities to assets. Measures of contingent liabilities, capital flight, and financial depth perform well as crisis predictors, and the marginal effects on the probability of a crisis are of the expected sign. The panel data set covers the time period 1973 through 2003 for 90 countries. "--World Bank web site |
| Beschreibung: | Includes bibliographical references Title from PDF file as viewed on 8/22/2005 |
| Beschreibung: | 1 Online-Ressource |
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| 520 | 3 | |a "The author presents evidence that balance sheet effects are critical determinants of both the likelihood of a crisis and of income losses following a crisis. She tests the validity of "insurance" and "liquidity" models of currency crisis. Both models predict that the occurrence of a balance of payments crisis is conditional on the health of the nation's accounts in relation to the rest of the world. Problems in the balance sheet either cause a financial crisis that develops into a run on the central bank, or generate a run on the central bank once contingent liabilities exceed reserves and the yield differential moves against domestic assets. Estimations of crisis likelihoods based on several specifications of single and simultaneous equation probit models confirm that output losses following the crisis are persistent and conditional on the balance sheet indicator, that is, the ratio of the stock of gross external liabilities to assets. Measures of contingent liabilities, capital flight, and financial depth perform well as crisis predictors, and the marginal effects on the probability of a crisis are of the expected sign. The panel data set covers the time period 1973 through 2003 for 90 countries. "--World Bank web site | |
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Datensatz im Suchindex
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| discipline | Wirtschaftswissenschaften |
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| id | DE-604.BV049074976 |
| illustrated | Not Illustrated |
| index_date | 2024-07-03T22:27:47Z |
| indexdate | 2024-07-10T09:54:31Z |
| institution | BVB |
| language | English |
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| series2 | Policy research working paper |
| spelling | Shankar, Rashmi Verfasser aut Insurance and liquidity panel evidence Rashmi Shankar, Research working paper Collection Title:Policy [Washington, D.C] World Bank [2005] 1 Online-Ressource txt rdacontent c rdamedia cr rdacarrier Policy research working paper 3648 Includes bibliographical references Title from PDF file as viewed on 8/22/2005 "The author presents evidence that balance sheet effects are critical determinants of both the likelihood of a crisis and of income losses following a crisis. She tests the validity of "insurance" and "liquidity" models of currency crisis. Both models predict that the occurrence of a balance of payments crisis is conditional on the health of the nation's accounts in relation to the rest of the world. Problems in the balance sheet either cause a financial crisis that develops into a run on the central bank, or generate a run on the central bank once contingent liabilities exceed reserves and the yield differential moves against domestic assets. Estimations of crisis likelihoods based on several specifications of single and simultaneous equation probit models confirm that output losses following the crisis are persistent and conditional on the balance sheet indicator, that is, the ratio of the stock of gross external liabilities to assets. Measures of contingent liabilities, capital flight, and financial depth perform well as crisis predictors, and the marginal effects on the probability of a crisis are of the expected sign. The panel data set covers the time period 1973 through 2003 for 90 countries. "--World Bank web site Online-Ausg Also available in print Balance of payments Banks and banking, Central Financial crises Liquidity (Economics) World Bank Sonstige oth Shankar, Rashmi Insurance and liquidity http://elibrary.worldbank.org/content/workingpaper/10.1596/1813-9450-3648 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Shankar, Rashmi Insurance and liquidity panel evidence Balance of payments Banks and banking, Central Financial crises Liquidity (Economics) |
| title | Insurance and liquidity panel evidence |
| title_auth | Insurance and liquidity panel evidence |
| title_exact_search | Insurance and liquidity panel evidence |
| title_exact_search_txtP | Insurance and liquidity panel evidence |
| title_full | Insurance and liquidity panel evidence Rashmi Shankar, Research working paper Collection Title:Policy |
| title_fullStr | Insurance and liquidity panel evidence Rashmi Shankar, Research working paper Collection Title:Policy |
| title_full_unstemmed | Insurance and liquidity panel evidence Rashmi Shankar, Research working paper Collection Title:Policy |
| title_short | Insurance and liquidity |
| title_sort | insurance and liquidity panel evidence |
| title_sub | panel evidence |
| topic | Balance of payments Banks and banking, Central Financial crises Liquidity (Economics) |
| topic_facet | Balance of payments Banks and banking, Central Financial crises Liquidity (Economics) |
| url | http://elibrary.worldbank.org/content/workingpaper/10.1596/1813-9450-3648 |
| work_keys_str_mv | AT shankarrashmi insuranceandliquiditypanelevidence AT worldbank insuranceandliquiditypanelevidence |