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Commodity Price Movements and Banking Crises.

By: Contributor(s): Material type: TextTextSeries: IMF Working Papers; Working Paper ; no. 18/153.Publication details: Washington, D.C. : International Monetary Fund, 2018.Description: 1 online resource (54 pages)Content type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 1484367855
  • 1484366778
  • 9781484366776
  • 9781484367858
Subject(s): Genre/Form: Additional physical formats: Print version:: Commodity Price Movements and Banking Crises.DDC classification:
  • 338.542 23
LOC classification:
  • HB3722 .C666 2018
Online resources:
Contents:
Cover; Contents; 1 Introduction; 2 Data and Descriptive Analysis; 2.1 Sample; 2.2 Variable Construction and Sources; 2.3 Variable Transformation; 2.4 Event Analysis; 3 Empirical Model and Implementation; 4 Results and Discussion; 4.1 Main results; 4.2 Goodness of Fit; 4.3 Robustness of the Baseline; 4.4 The Role of Leverage; 4.5 Capital Inflows Bonanza; 4.6 Cross-Sectional Heterogeneity; 5 Concluding Remarks; A: Data Sources and Sample Makeup; B: Additional Figures; C: Additional Regression Results.
Abstract: We develop an empirical model to predict banking crises in a sample of 60 low-income countries (LICs) over the 1981-2015 period. Given the recent emergence of financial sector stress associated with low commodity prices in several LICs, we assign price movements in primary commodities a key role in our model. Accounting for changes in commodity prices significantly increases the predictive power of the model. The commodity price effect is economically substantial and robust to the inclusion of a wide array of potential drivers of banking crises. We confirm that net capital inflows increase the likelihood of a crisis; however, in contrast to recent findings for advanced and emerging economies, credit growth and capital flow surges play no significant role in predicting banking crises in LICs.
Holdings
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Print version record.

Cover; Contents; 1 Introduction; 2 Data and Descriptive Analysis; 2.1 Sample; 2.2 Variable Construction and Sources; 2.3 Variable Transformation; 2.4 Event Analysis; 3 Empirical Model and Implementation; 4 Results and Discussion; 4.1 Main results; 4.2 Goodness of Fit; 4.3 Robustness of the Baseline; 4.4 The Role of Leverage; 4.5 Capital Inflows Bonanza; 4.6 Cross-Sectional Heterogeneity; 5 Concluding Remarks; A: Data Sources and Sample Makeup; B: Additional Figures; C: Additional Regression Results.

We develop an empirical model to predict banking crises in a sample of 60 low-income countries (LICs) over the 1981-2015 period. Given the recent emergence of financial sector stress associated with low commodity prices in several LICs, we assign price movements in primary commodities a key role in our model. Accounting for changes in commodity prices significantly increases the predictive power of the model. The commodity price effect is economically substantial and robust to the inclusion of a wide array of potential drivers of banking crises. We confirm that net capital inflows increase the likelihood of a crisis; however, in contrast to recent findings for advanced and emerging economies, credit growth and capital flow surges play no significant role in predicting banking crises in LICs.

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