Estimation and out-of-sample Prediction of Sudden Stops
Author | : Mr.Fabio Comelli |
Publisher | : International Monetary Fund |
Total Pages | : 34 |
Release | : 2015-06-25 |
ISBN-10 | : 9781513516912 |
ISBN-13 | : 1513516914 |
Rating | : 4/5 (12 Downloads) |
Download or read book Estimation and out-of-sample Prediction of Sudden Stops written by Mr.Fabio Comelli and published by International Monetary Fund. This book was released on 2015-06-25 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: We identify episodes of sudden stops in emerging economies and estimate the probability to observe them. Sudden stops are more likely when global growth falters, risk aversion in financial markets rises, and vulnerabilities in the external and financial sectors increase. However, the significance of the explanatory variables vary across regions. In Latin America and Eastern Europe, gross capital inflows are more responsive to changes in global growth than in Asia. Trade linkages tend to be more important than financial linkages in Eastern Europe, while in Asia and Latin America the opposite is true. The model captures only a third of sudden stops outside the estimation sample, but issues reliable sudden stop signals.