Hidden Bibliographic Details
| Other authors / contributors: | Milesi-Ferretti, Gian Maria.
International Monetary Fund. Research Department.
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| ISBN: | 9781484374450
1484374452
1484323750
9781484323755
9781484315910
148431591X
9781484323755
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| Notes: | Title from PDF title page (IMF Web site, viewed May 21, 2013).
"Research Department"--Page 2 of pdf.
"May 2013"--Page 2 of pdf.
Includes bibliographical references (pages 28-31).
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| Summary: | "We examine the determinants of external crises, focusing on the role of foreign liabilities and their composition. Using a variety of statistical tools and comprehensive data spanning 1970-2011, we find that the ratio of net foreign liabilities (NFL) to GDP is a significant crisis predictor, and the more so when it exceeds 50 percent in absolute terms and 20 percent of the country-specific historical mean. This is primarily due to net external debt -- the effect of net equity liabilities is weaker and net FDI liabilities seem if anything an offset factor. We also find that: i) breaking down net external debt into its gross asset and liability counterparts does not add significant explanatory power to crisis prediction; ii) the current account is a powerful predictor, either measured unconditionally or as deviations from conventionally estimated "norms"; iii) foreign exchange reserves reduce the likelihood of crisis more than other foreign asset holdings; iv) a parsimonious probit containing those and a handful of other variables has good predictive performance in- and out-of-sample. The latter result stems largely from our focus on external crises stricto sensu"--Abstract.
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| Other form: | Print Version: 9781484323755
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| Standard no.: | 10.5089/9781484323755.001
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