Assessing the Impact of Private Sector Balance Sheets Effects on Financial Crises: a comparison of Bayesian and information-theoretic measures of model uncertainty

Melvyn Weeks (), S. Godsill and Mark Stone

No 162, Econometric Society 2004 Latin American Meetings from Econometric Society

Abstract: This paper examines the intensity of financial crises during the 1990s with a view to informing crisis prevention and mitigation policies. We compare the performance of a full Bayesian and an information-theoretic approach in addressing the econometric problems posed by the lack of a unifying theoretical model, a large number of crisis indicators, and a number of additional data shortfalls. The results indicate that the probability and intensity of financial crises are heightened by corporate illiquidity and leverage, a lack of nonbank sources of financing, excessive domestic relative to foreign currency liquidity and a cutoff of capital inflows. The implications are that policy measures aimed at improving the operation and monitoring of the corporate and nonbank financial sectors could reduce crisis vulnerability

Keywords: Model Uncertainty; Financial Crises; Bayesian Inference; AIC; Kullback Leibler; Model Averaging (search for similar items in EconPapers)
JEL-codes: B41 C21 C23 (search for similar items in EconPapers)
Date: 2004-08-11
References: Add references at CitEc
Citations: View citations in EconPapers (8)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecm:latm04:162

Access Statistics for this paper

More papers in Econometric Society 2004 Latin American Meetings from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().