| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14962 |
| DP14962 Financial Vulnerability and Risks to Growth in Emerging Markets | |
| Viral Acharya; Soumya Bhadury; Jay Surti | |
| 发表日期 | 2020-06-28 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | This paper introduces a new financial vulnerability index for emerging market economies by exploiting key differences in their business cycles relative to those of advanced economies. Information on the domestic price of risk, cost of dollar hedging and market-based measures of bank vulnerability combine to generate indexes significantly more effective in capturing macro-financial vulnerability and stress compared to those based on information in trade and global factors. Our index significantly augments early warning surveillance capacity, as evidenced by out-of-sample forecasting gains around a majority of turning points in GDP growth relative to distributed lag models that are augmented with information from macro-financial indexes that are custom-built to optimize such forecasts. |
| 主题 | Financial Economics |
| 关键词 | Financial conditions Price of risk Vulnerability Business cycles Early warning indicators |
| URL | https://cepr.org/publications/dp14962 |
| 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/543905 |
| 推荐引用方式 GB/T 7714 | Viral Acharya,Soumya Bhadury,Jay Surti. DP14962 Financial Vulnerability and Risks to Growth in Emerging Markets. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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