Please use this identifier to cite or link to this item:
https://hdl.handle.net/20.500.14279/14673
Title: | An empirical investigation of the loan concentration risk in Latin America |
Authors: | Kalotychou, Elena Staikouras, Sotiris |
metadata.dc.contributor.other: | Καλοτύχου, Έλενα |
Major Field of Science: | Social Sciences |
Field Category: | Economics and Business |
Keywords: | Financial crises;Forecasting;International credit risk;Logit modelling |
Issue Date: | Oct-2006 |
Source: | Journal of Multinational Financial Management, 2006, vol.6, no. 4, pp. 363-384 |
Volume: | 6 |
Issue: | 4 |
Start page: | 363 |
End page: | 384 |
Journal: | Journal of Multinational Financial Management |
Abstract: | The paper sets out to explore the factors affecting the credit quality of the Latin American region. Specifically, a logit framework is employed based on macroeconomic and financial data to determine the causes of Latin American debt crises in the last two decades. The analysis uses a modification of the default indicator to explicitly incorporate country arrear capacity. A number of domestic and international signals are found to be important in determining earlier as well as recent incidents. Domestic fundamentals, however, bear a much heavier weight than global conditions, implying that policy-makers still enjoy some freedom in preventing crises by monitoring country vulnerability. Furthermore, the study focuses on the out-of-sample classification accuracy of the proposed estimator using various criteria and provides 1-, 2- and 3-year-ahead forecasts for country default probabilities. Predictive performance is satisfactory with a reasonable reduction in accuracy in the out-of-sample period. Nevertheless, the findings indicate an upward bias towards type II errors. |
URI: | https://hdl.handle.net/20.500.14279/14673 |
ISSN: | 1042444X |
DOI: | 10.1016/j.mulfin.2005.08.005 |
Rights: | © Elsevier Attribution-NonCommercial-NoDerivs 3.0 United States |
Type: | Article |
Affiliation : | City University London |
Publication Type: | Peer Reviewed |
Appears in Collections: | Άρθρα/Articles |
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