The Real Output Costs of Financial Crisis: A Loss Distribution Approach

Daniel Kapp and Marco Vega

No 2012-013, Working Papers from Banco Central de Reserva del Perú

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: C15 G01 G17 G22 G32 (search for similar items in EconPapers)
Date: 2012-05
New Economics Papers: this item is included in nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://www.bcrp.gob.pe/docs/Publicaciones/Documen ... -trabajo-13-2012.pdf Application/pdf

Related works:
Journal Article: Real output costs of financial crises: A loss distribution approach (2014)
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: Real output costs of financial crises: a loss distribution approach (2012)
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:rbp:wpaper:2012-013

Access Statistics for this paper

More papers in Working Papers from Banco Central de Reserva del Perú Contact information at EDIRC.
Bibliographic data for series maintained by Research Unit ().