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

Christian MulderRoberto PerrelliManuel Duarte Rocha

URL	http://books.google.com.hk/books?id=mK_FzgEACAAJ&hl=&source=gbs_api

註釋

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.