The Role of Bank and Corporate Balance Sheets on Early Warning Systems of Currency Crises—An Empirical Study

Mulder, Christian ; Perrelli, Roberto ; Duarte Rocha, Manuel

Taylor and Francis

关键词: currency crises;    external vulnerability;    emerging markets;    exchange rates;    balance sheet effects;   

DOI  :  10.1080/1540496X.2016.1158545

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

This study analyzes the role of bank and corporate balance sheets on early warning systems (EWS) of currency crises. Using firm-level data on debt structure, leverage, liquidity, and profitability, this study presents estimations of EWS for a panel of emerging markets. Using calibration experiments, we assess the performance of alternative EWS specifications in a comprehensive range of crisis-probability cut-offs‏. These models supplement EWS based on traditional macroeconomic indicators, improving forecasting performance substantially. The results support the third-generation models of currency crises and can assist policymakers on the design of surveillance strategies tailored for heterogeneous levels of risk tolerance and country specificities.