Real output costs of financial crises: A loss distribution approach

Daniel Kapp and Marco Vega
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Daniel Kapp: University of Paris 1 – Panthéon-Sorbonne and Paris School of Economics, Paris, France

Cuadernos de Economía - Spanish Journal of Economics and Finance, 2014, vol. 37, issue 103, 13-28

Abstract: We study cross-country GDP losses due to financial crises in terms of frequency (number of loss events per period) and severity (loss per occurrence). We perform the Loss Distribution Approach (LDA) to estimate a multi-country aggregate GDP loss probability density function and the percentiles associated to extreme events due to financial crises. We find that output losses arising from financial crises are strongly heterogeneous and that currency crises lead to smaller output losses than debt and banking crises. Extreme global financial crises episodes, occurring with a one percent probability every five years, lead to losses between 2.95 and 4.54% of world GDP.

Keywords: Financial; crisis.; Severity.; Frequency.; Loss; Distribution; Approach (search for similar items in EconPapers)
JEL-codes: C19 G01 G17 G22 G32 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (4)

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Related works:
Working Paper: Real Output Costs of Financial Crises: A Loss Distribution Approach (2012)
Working Paper: Real Output Costs of Financial Crises: a Loss Distribution Approach (2012)
Working Paper: The Real Output Costs of Financial Crisis: A Loss Distribution Approach (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:cud:journl:v:37:y:2014:i:103:p:13-28

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