Title Estimation and out-of-sample prediction of sudden stops : do regions of emerging markets behave differently from each other? / prepared by Fabio Comelli

Published [Washington, D.C.] : International Monetary Fund, ©2015

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Description 1 online resource (34 pages) Series IMF working paper ; WP/15/138 IMF working paper ; WP/15/138. Contents Cover Page -- Title Page -- Copyright Page -- Contents -- Tables -- I. Introduction -- II. Related Literature -- III. Data -- IV. Methodology -- A. Identifying Sudden Stop Episodes -- 1. Sudden stop episodes and average length (in quarters) -- B. International linkages -- C. Econometric Strategy -- V. Results -- A. Baseline Results -- B. Sensitivity Analysis -- 2. Panel logit regressions: baseline and regional estimates -- i. Global vs. Regional Panels -- ii. Additional Control Variabels -- iii. Extreme Sudden Stop Episodes 3. Panel logit regressions: additional control variables4. Panel logit regressions: extreme sudden stops -- C. Out-of-sample Performance -- 5. Panel logit regressions: changing the sample period -- 6. In-sample and out-of-sample performance -- VI. Conclusions -- Appendix -- References -- Footnotes Summary We identify episodes of sudden stops in emerging economies and estimate the probability to observe them. Sudden stops are more likely when global growth falters, risk aversion in financial markets rises, and vulnerabilities in the external and financial sectors increase. However, the significance of the explanatory variables vary across regions. In Latin America and Eastern Europe, gross capital inflows are more responsive to changes in global growth than in Asia. Trade linkages tend to be more important than financial linkages in Eastern Europe, while in Asia and Latin America the opposite is true. The model captures only a third of sudden stops outside the estimation sample, but issues reliable sudden stop signals. --Abstract Notes "June 2015." "Institute for Capacity Development." Bibliography Includes bibliographical references (pages 30-33) Notes Online resource; title from pdf title page (IMF.org Web site, viewed July 10, 2015) Subject Capital movements -- Econometric models Regional economics -- Developing countries -- Econometric models Capital movements -- Econometric models Regional economics -- Econometric models Developing countries Form Electronic book Author International Monetary Fund. Institute for Capacity Development. ISBN 9781513516912 1513516914 9781513502939 151350293X

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