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?qdqfldo fudvk/4 Mrxuqdo ri Ghyhorsphqw Hfrqrplfv 4</ uhsulqwhg lq
D1 Yhodvfr +hg1,/ Wudgh/ ghyhorsphqw dqg wkh zruog hfrqrp| = vhohfwhg
hvvd|v ri Fduorv Gðd}0Dohmdqgur/ R{irug/ XN= Eodfnzhoo/ 4<;;1
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du|1
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wdjlrxv fxuuhqf| fulvhv14 Qdwlrqdo Exuhdx ri Hfrqrplf Uhvhdufk Zrun0
lqj Sdshu Qr189;4/ Mxo|1
^4:` Ihogvwhlq/ Pduwlq +4<<;,1 3Uhirfxvlqj wkh LPI14 Iruhljq D>dluv :: +5,/
Pdufk0Dsulo1
^4;` Ilvfkhu/ Vwdqoh| +4<<;,1 3Wkh LPI dqg wkh Dvldq fulvlv14 Iruxp Ixqgv
Ohfwxuh dw XFOD/ Orv Dqjhohv/ Pdufk 531
^4<` Iorrg/ Urehuw dqg Shwhu Jduehu +4<;7,1 3Froodsvlqj h{fkdqjh0udwh
uhjlphv= vrph olqhdu h{dpsohv14 Mrxuqdo ri Lqwhuqdwlrqdo Hfrqrplfv
4:= 40461
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fxuuhqf| fulvlv olwhudwxuh14 Qdwlrqdo Exuhdx ri Hfrqrplf Uhvhdufk Zrun0
lqj Sdshu Qr196;3/ Mdqxdu|1
67
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wzlq fulvhv= wkh uroh ri oltxlglw|14 Lqwhuqdwlrqdo Prqhwdu| Ixqg Zrunlqj
Sdshu <:2;:/ Mxo|1
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rq Edqn Vwuxfwxuh dqg Frpshwlwlrq/4 Ihghudo Uhvhuyh Edqn ri Fklfdjr/
Pd| :1
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udwh v|vwhpv14 Mrxuqdo ri Lqwhuqdwlrqdo Hfrqrplfv 53/ ss147604891
^57` Lqwhuqdwlrqdo Prqhwdu| Ixqg +4<<:,1 Zruog hfrqrplf rxworrn1 Lqwhulp
dvvhvvphqw1 Zdvklqjwrq/ GF= Lqwhuqdwlrqdo Prqhwdu| Ixqg/ Ghfhpehu1
^58` Lqwhuqdwlrqdo Prqhwdu| Ixqg +4<<;,1 Zruog hfrqrplf rxworrn1 Zdvklqj0
wrq/ GF= Lqwhuqdwlrqdo Prqhwdu| Ixqg/ Pd|1
^59` Ndplqvn|/ Judflhod/ Vdxo Ol}rqgr dqg Fduphq P1 Uhlqkduw +4<<;,1
3Ohdglqj lqglfdwruv ri fxuuhqf| fulvhv14 LPI Vwd> Sdshuv/ Pdufk1
^5:` Ndplqvn|/ Judflhod dqg Fduphq P1 Uhlqkduw +4<<:,1 3Wkh wzlq fulvhv=
wkh fdxvhv ri edqnlqj dqg edodqfh0ri0sd|phqwv sureohpv/4 plphr/ Ihg0
hudo Uhvhuyh Erdug1
^5;` Nuxjpdq/ Sdxo +4<:<,1 3D prgho ri edodqfh ri sd|phqwv fulvhv14 Mrxuqdo
ri Prqh|/ Fuhglw/ dqg Edqnlqj 44= 64406581
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xdu|1
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whup ghew/4 plphr/ Xqlyhuvlw| ri Pdu|odqg1
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lqwhuqdwlrqdo fdslwdo rzv= wkh cryhueruurzlqj v|qgurph*/4 lq W1 Lwr
dqg D1R1 Nuxjhu +hglwruv,/ Ilqdqfldo ghuhjxodwlrq dqg lqwhjudwlrq lq
Hdvw Dvld/ Wkh Xqlyhuvlw| ri Fklfdjr Suhvv1
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vxvwdlqdelolw|14 Sulqfhwrq Vwxglhv lq Lqwhuqdwlrqdo Ilqdqfh Qr1;4/ Rf0
wrehu1
68
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d prgho ri vhoi0ixo?oolqj fxuuhqf| dwwdfnv14 Dphulfdq Hfrqrplf Uhylhz
;; +6,/ ss18;:08<:1
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phqwv fulvhv14 Dphulfdq Hfrqrplf Uhylhz :9= 9:909;41
^68` Revwihog/ Pdxulfh +4<<7,1 3Wkh orjlf ri fxuuhqf| fulvhv14 Fdklhuv
Hfrqrpltxhv hw Prqhwdluhv 76=4;<05461
^69` Revwihog/ Pdxulfh dqg Nhqqhwk Urjr> +4<<9,1 Irxqgdwlrqv ri lqwhuqd0
wlrqdo pdfurhfrqrplfv1 Fdpeulgjh/ PD= PLW Suhvv1
^6:` RHFG +4<;;,1 Hfrqrplf Vxuyh| ri Nruhd 4<<:0<;1 Sdulv/ RHFG1
^6;` Srphuohdqr/ Plfkdho +4<<;,1 3Wkh Hdvw Dvld fulvlv dqg frusrudwh ?0
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frplqj1
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?qdqfldo fulvlv/4 Qdwlrqdo Exuhdx ri Hfrqrplf Uhvhdufk Zrunlqj Sdshu
Qr199;3/ Dxjxvw1
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fulvhv lq hphujlqj pdunhwv= wkh ohvvrqv ri 4<<814 Eurrnlqjv Sdshuv rq
Hfrqrplf Dfwlylw| Qr14/ 47:054:1
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wkh fxuuhqw joredo hfrqrp|/4 dgguhvv wr wkh Fklfdjr Frxqflo rq Iruhljq
Uhodwlrqv1 Fklfdjr/ Iheuxdu| 5:1
^75` Wdoyl/ Huqhvwr +4<<:,1 3H{fkdqjh udwh0edvhg vwdelol}dwlrq zlwk hqgrjh0
qrxv ?vfdo uhvsrqvh14 Mrxuqdo ri Ghyhorsphqw Hfrqrplfv 87/ ss18<0:81
^76` Yhodvfr/ Dqguhv +4<;:,1 3Ilqdqfldo dqg edodqfh ri sd|phqwv fulvhv14
Mrxuqdo ri Ghyhorsphqw Hfrqrplfv 5:/ 59605;61
69
Table 1. Crisis and Economic Indicators
Percentage or percentage change
Country
Argentina
Brazil
Chile
China
Columbia
Czech
Hong Kong
Hungary
India
Indonesia
Jordan
Korea
Malaysia
Mexico
Pakistan
Peru
Philippines
Poland
Singapore
Sri Lanka
Taiwan
Thailand
Turkey
Venezuela
Crisis Index Real Appreciation Current Account Lending Boom Non-Performing Loans Reserves Adequacy Reserves Adequacy Reserves Adequacy
(IND)
(RER)
(CA)
(LB)
(NPL)
(M2/RES)
(M1/RES)
(STD/RES)
4.9
-0.5
-1.4
7.6
-9.1
-19.5
5.7
-1.6
5.7
-38.3
9.8
-38.6
-38.8
10.9
11.4
0.7
-29.8
3.5
-15.7
-1.0
-11.4
-47.8
4.3
4.9
38.6
75.8
37.5
4.9
26.6
50.7
31.8
-38.8
-29.1
17.5
6.1
11.1
19.9
8.9
-2.0
-20.4
38.9
30.0
4.7
17.7
-7.0
20.0
-16.1
2.2
-1.9
-2.0
-1.7
0.8
-5.0
-4.4
-1.6
-6.5
-1.2
-2.9
-4.5
-2.5
-6.4
-2.7
-5.3
-6.2
-4.6
0.9
16.5
-5.7
2.9
-7.2
-0.1
6.8
16.5
-26.3
24.1
6.9
35.0
22.7
25.5
-56.5
-2.3
9.6
1.4
11.2
31.1
-10.9
-3.7
177.2
150.8
38.5
16.7
28.4
43.4
58.0
43.2
-51.5
9.4
5.8
1.0
14.0
4.6
12.0
3.4
3.2
17.3
12.9
6.0
8.4
9.9
12.5
17.5
5.1
14.0
6.0
4.0
5.0
3.9
13.3
0.8
3.8
351.0
345.9
188.2
828.9
209.4
356.9
411.9
167.1
860.0
614.8
437.8
665.4
364.8
444.8
3369.9
123.6
465.6
262.3
103.5
236.4
575.1
380.5
302.6
102.4
108.2
66.8
41.9
334.0
104.3
139.5
34.2
83.3
296.5
114.3
141.4
147.6
115.6
129.3
1822.8
32.4
91.8
95.9
25.0
72.9
141.0
43.3
48.9
58.5
147.8
78.3
53.3
26.7
73.9
42.9
20.0
52.3
37.2
188.9
33.9
217.0
45.3
142.9
399.0
61.6
849.3
14.2
20.0
26.8
22.8
121.5
76.0
28.2
Table 2. Explaining the Crisis Indexa
(1)
Estimated
coefficient
and summary Independent
statistic
variable
constant
6.877
β1
(3.755)
(2)
(3)
Regression
with M2/RES
7.073
(4.094)
Regression
with M1/RES
7.437
(3.956)
(4)
Regression
with
STD2/RES
5.324
(3.552)
β2
CAI
3.768
(1.254)
0.849
(2.869)
2.210
(3.677)
0.569
(1.971)
β3
NPLB
-1.338
(0.605)
-2.888
(2.073)
-2.805
(1.946)
-0.476
(0.782)
β4
CAI × D2LR
3.613
(3.191)
β5
NPLB × D2LR
1.761
(2.035)
β4
CAI × D1LR
1.467
(3.982)
β5
NPLB × D1LR
1.534
(1.929)
β4
CAI × D3LR
3.571
(2.564)
β5
NPLB × D3LR
-0.864
(0.986)
Summary
statistic
R2
R2
Addendum:
Wald tests
Null
hypothesis
β 2 + β4 = 0
β 3 + β5 = 0
a
0.555
0.594
0.541
0.621
0.536
0.616
0.622
0.688
p values
p values
0.005
0.099
p values
0.018
0.057
p values
0.023
0.091
The dependent variable is the crisis index, IND. See Table 1 and Appendix for definition of
variables. Standard errors are shown in parentheses.
Table 3. Explaining the Crisis Indexa
(1)
Estimated
coefficient
and summary Independent
statistic
Variable
constant
-2.861
β1
(2.138)
(2)
(3)
5.535
(3.887)
5.602
(4.082)
β2
CAI
0.841
(2.946)
0.762
(2.694)
0.766
(2.771)
β3
NPLB
-1.338
(0.605)
-2.569
(1.954)
-2.583
(2.017)
β4
CAI × D2LR
2.851
(6.650)
1.118
(3.274)
1.559
(6.293)
β5
NPLB × D2LR
1.769
(2.091)
2.448
(1.945)
2.446
(2.000)
β6
CAI × D2LR ×
DWF
0.834
(6.337)
β7
NPLB × D2LR
× DWF
Summary
statistic
R2
R2
Addendum:
Wald tests
Null
hypothesis
β 2 + β4 = 0
β2 + β4 +β6 =0
β 3 + β5 = 0
β3 + β5+ β7 =0
a
-0.497
(6.004)
-2.120
(1.123)
-2.131
(1.164)
0.516
0.621
0.596
0.684
0.572
0.683
p values
0.547
0.009
0.146
p values
0.337
p values
0.688
0.388
0.875
0.026
0.883
0.017
The dependent variable is the crisis index, IND. See Table 1 and Appendix for definition of
variables. Standard errors are shown in parentheses.
@FedFRASER