کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
967567 | 931348 | 2006 | 22 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
An empirical investigation of the loan concentration risk in Latin America
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multinational Financial Management - Volume 16, Issue 4, October 2006, Pages 363-384
Journal: Journal of Multinational Financial Management - Volume 16, Issue 4, October 2006, Pages 363-384
نویسندگان
Elena Kalotychou, Sotiris K. Staikouras,