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https://hdl.handle.net/20.500.14279/14673
Τίτλος: | An empirical investigation of the loan concentration risk in Latin America | Συγγραφείς: | Kalotychou, Elena Staikouras, Sotiris |
metadata.dc.contributor.other: | Καλοτύχου, Έλενα | Major Field of Science: | Social Sciences | Field Category: | Economics and Business | Λέξεις-κλειδιά: | Financial crises;Forecasting;International credit risk;Logit modelling | Ημερομηνία Έκδοσης: | Οκτ-2006 | Πηγή: | Journal of Multinational Financial Management, 2006, vol.6, no. 4, pp. 363-384 | Volume: | 6 | Issue: | 4 | Start page: | 363 | End page: | 384 | Περιοδικό: | Journal of Multinational Financial Management | Περίληψη: | 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 |
Εμφανίζεται στις συλλογές: | Άρθρα/Articles |
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