A Model to Assess the Probabilities of Growth, Fiscal, and Financial Crises

43 Pages Posted: 21 Mar 2018

See all articles by Suman Sambha Basu

Suman Sambha Basu

International Monetary Fund (IMF)

Marcos Chamon

International Monetary Fund (IMF) - Research Department

Christopher Crowe

International Monetary Fund (IMF)

Date Written: December 2017

Abstract

This paper summarizes a suite of early warning models to assess the probabilities of growth, fiscal, and financial crises in advanced economies and emerging markets. We estimate separate signal-extraction models for each type of crisis and sample of countries, and we use our results to generate 'histories of vulnerabilities' for countries, regions, and the world. For the global financial crisis, our models report that vulnerabilities in advanced economies were rooted in the bursting of leveraged bubbles, while vulnerabilities in emerging markets stemmed from lengthy booms in credit and asset prices combined with growing weaknesses in the corporate and external sectors.

Keywords: Developed countries, Emerging markets, Financial crisis, Early warning systems, Financial crises, Sudden stops, Early warning model, crisis probability, growth crisis, fiscal crisis, sudden stop, Forecasting and Simulation, Forecasting and Simulation

JEL Classification: E37, E37, F47, F47, G01, G01

Suggested Citation

Basu, Suman Sambha and Chamon, Marcos and Crowe, Christopher, A Model to Assess the Probabilities of Growth, Fiscal, and Financial Crises (December 2017). IMF Working Paper No. 17/282, Available at SSRN: https://ssrn.com/abstract=3145020

Suman Sambha Basu (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Marcos Chamon

International Monetary Fund (IMF) - Research Department ( email )

700 19th Street NW
Washington, DC 20431
United States
202-623-5867 (Phone)

Christopher Crowe

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
30
Abstract Views
252
PlumX Metrics