| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10058 |
| DP10058 External Liabilities and Crises | |
| Luis Catao | |
| 发表日期 | 2014-07-06 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | 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 to GDP is a significant crisis predictor. This is primarily due to the net position in debt instruments--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; 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 sensu stricto. |
| 主题 | International Macroeconomics |
| 关键词 | International investment positions Sovereign deebt Currency crises Current account imbalances Foreign exchange reserves |
| URL | https://cepr.org/publications/dp10058 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538890 |
| 推荐引用方式 GB/T 7714 | Luis Catao. DP10058 External Liabilities and Crises. 2014. |
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