Abstract
The damage and the recurrence of financial crises have increased the
concern of investors and policymakers on one hand and the interest of macroeconomists
on the other. This paper presents an original non parametric methodology,
whose aim is to give a very intuitive and rigorous method for variable selection in
order to analyse financial crises. Transvariation analysis compares the distributions
of two different groups of countries (sound and distressed) with respect to a single
macroeconomic variable and selects the indicators on the basis of a low transvariation
probability index. The current account deficit to GDP ratio, differently
from other studies on financial crises, seems to be a suitable variable in discriminating
distressed countries from sound ones, and the case of Argentina and Turkey
confirms this finding.
Lingua originale | English |
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pagine (da-a) | 153-174 |
Numero di pagine | 22 |
Rivista | Empirica |
Volume | 40 |
Stato di pubblicazione | Pubblicato - 2013 |
Keywords
- current account
- financial crises
- non parametric methods