Multinational banks, credit risk, and financial crises: A qualitative response analysis

Emerging Markets Finance and Trade

Volumn 41, Issue 2, 2005, Pages 82-106

  Staikouras, Sotiris K ^a  

^a CITY UNIVERSITY   (United Kingdom)

Author keywords

Credit risk; International lending; Panel data estimation; Sovereign default

Indexed keywords

EID: 20744445355     PISSN: 1540496X     EISSN: None     Source Type: Journal    
DOI: 10.1080/1540496x.2005.11052606     Document Type: Article

References (46)

1. Abassi, B., and R.J. Taffler. 1984. "Country Risk: A Model for Predicting Debt-Servicing Problems in Developing Countries." Journal of the Royal Statistical Society, Series A, 147: 541-568.
2. Avramovic, D. 1958. Debt Servicing Capacity and Post-War Growth in International Indebtedness. Baltimore, MD: Johns Hopkins Press.
3. _. 1964. Economic Growth and External Debt. Baltimore, MD: Johns Hopkins Press.
4. Aylward, L., and R. Thorne. 1998. "Countries' Repayment Performance Vis-á-Vis the IMF." IMF Staff Papers 45, no. 4: 595-619.
5. Basel Committee on Banking Supervision. 2001. The New Basel Capital Accord, BIS, January.
6. Catao, L., and B. Sutton. 2002. "Sovereign Defaults: The Role of Volatility." Working Paper 149, International Monetary Fund, Washington, DC.
7. Chang, R., and A. Velasco. 2000. "Banks, Debt Maturity and Financial Crises." Journal of International Economics 51, no. 1: 169-194.
8. Detragiache, E., and A. Spilimbergo. 2001. "Crises and Liquidity: Evidence and Interpretation." Working Paper no. 01/2, International Monetary Fund, Washington, DC.
9. Eaton, J., and M. Gersovitz. 1981. "Debt with Potential Repudiation: Theoretical and Empirical Analysis." Review of Economic Studies 48: 289-309.
10. Eaton, J., M. Gersovitz, and J.E. Stiglitz. 1986. "The Pure Theory of Country Risk." European Economic Review 30, no. 3: 481-513.
11. Edwards, S. 1995. "Public-Sector Deficits and Macroeconomic Stability in Developing Economies." In Budget Deficits and Debt: Issues and Options, pp. 307-374. Kansas City: Federal Reserve Bank of Kansas City.
12. Elmore, C., and G. McKenzie. 1992. "Predicting LDC Debt Arrears." University of Southampton, UK.
13. Feder, G., and R.E. Just. 1977. "A Study of Debt-Servicing Capacity Applying Logit Analysis." Journal of Development Economics 4, no. 1: 25-38.
14. Feder, G.; R.E. Just; and K. Ross. 1981. "Projecting Debt-Servicing Capacity of Developing Countries." Journal of Financial and Quantitative Analysis 16, no. 4 (March): 651-669.
15. Frank, C.R., and W.R. Cline. 1971. "Measurement of Debt-Servicing Capacity of Developing Countries: An Application of Discriminant Analysis. " Journal of International Economics 41: 327-344.
16. Frankel, J.A., and A.K. Rose. 1996. "Currency Crashes in Emerging Markets: An Empirical Treatment." Journal of International Economics 41, nos. 3-4: 351-366.
17. Fuertes, A., and E. Kalotychou. 2004. "Modeling Sovereign Debt Using Panel Models: A Comparative Study." Paper presented at the Nineteenth Conference of the Econometric Society European Meeting (ESEM), Madrid, August 20-24.
18. Goldstein, M., and P. Turner. 1996. "Banking Crises in Emerging Economies: Origins and Policy Options." Bank for International Settlements Papers, no. 46: 1-67.
19. Grammatikos, T., and A. Saunders. 1990. "Additions to Bank Loan Loss Reserves." Journal of Monetary Economics 25, no. 2: 289-304.
20. Greene, W.H. 1997. Econometric Analysis. Upper Saddle River, NJ: Prentice Hall.
21. Hajivassiliou, V. 1987. "The External Debt Repayment Problems of LDSs: An Econometric Model Based on Panel Data." Journal of Econometrics 36: 205-230.
22. _. 1989. "Do the Secondary Markets Believe in Life After Debt? " In Dealing with Debt Crisis, ed. I. Diwan and I. Hussain. Washington DC: World Bank.
23. _. 1994. "A Simulation Estimation Analysis of the External Debt Crises of Developing Countries." Journal of Applied Econometrics 9, no. 2: 109-113.
24. Haque, N.U.; M.S. Kumar; N. Mark; and D.J. Mathieson. 1996. "The Economic Content of Indicators of Developing Country Creditworthiness." IMF Staff Papers 43, no. 4: 688-724.
25. Harvey, A.C. 1989. Forecasting Structural Time Series Models and the Kalman Filter. Cambridge: Cambridge University Press.
26. Heffernan, S.A. 1984. Sovereign Risk Analysis. London: Unwin Hyman.
27. _. 1985. "Country Risk Analysis: The Demand and Supply of Sovereign Loans." Journal of International Money and Finance 4: 389-413.
28. _. 2004. Modern Banking. London: Wiley.
29. Hodrick, R.J., and E.G. Prescott. 1997. "Post-War U.S. Business Cycles: An Empirical Investigation." Journal of Money, Credit and Banking 29, no. 1 (February): 1-16.
30. Honore, B.E., and E. Kyriazidou. 2000. "Panel Data Discrete Choice Models with Lagged Dependent Variables." Econometrica 68, no. 4: 839-874.
31. Johnston, J., and J. Dinardo. 1997. Econometric Methods. New York: McGraw-Hill.
32. Kalotychou, E. 2004. "Emerging Markets and Sovereign Risk Analysis." Ph.D. dissertation, Cass Business School, City University, London.
33. Kalotychou, E., and S.K. Staikouras. 2004a. "The Banking Exposure to International Lending: Empirical Evidence and Economic Signals." Paper presented at the Multinational Finance Society Conference, Istanbul, July 3-8.
34. _. 2004b. "Credit Exposure and Sovereign RiskAnalysis: The Case of South America." Frontiers in Finance and Economics 1: 46-56.
35. Kaminsky, G., and C.M. Reinhart. 1999. "The Twin Crises: The Cause of Banking and Balance of Payments Problems." American Economic Review 3: 473-500.
36. Kumar, M.; U. Moorthy; and W. Perraudin. 2003. "Predicting Emerging Market Currency Crashes." Journal of Empirical Finance 10, no. 1: 427-454.
37. Lee, S.H. 1991. "Ability and Willingness to Service Debt as Explanation for Commercial and Official Rescheduling Cases." Journal of Banking and Finance 15, no. 1: 5-27.
38. Maddala, G.S. 1983. Limited-Dependent and Qualitative Variables in Econometrics. Cambridge: Cambridge University Press.
39. Martinson, M.G., and J.V. Houpt. 1989. "Transfer Risk in U.S. Banks." Federal Reserve Bulletin 75 (April): 255-258.
40. McFadden, D.; R. Eckaus; G. Feder; V. Hajivassiliou; and S. O'Connell. 1985. "Is There Life After Debt? An Econometric Analysis of the Creditworthiness of Developing Countries." In International Debt and the Developing Countries, ed. G. Smith and J. Cuddington, pp. 179-209. Washington DC: World Bank.
41. Moghadam, M.R., and H. Samavati. 1991. "Predicting Debt Rescheduling by Less-Developed Countries: A Probit Model Approach." Quarterly Review of Economics and Business 31: 3-14.
42. Saini, K., and P. Bates. 1984. "A Survey of the Quantitative Approaches to Country Risk Analysis." Journal of Banking and Finance 8 (June): 341-356.
43. Saunders, A., and M.M. Cornett. 2003. Financial Institutions Management: A Risk Management Approach. New York: McGraw-Hill.
44. Somerville, R.A., and R.J. Taffler. 1995. "Banker Judgment Versus Formal Forecasting Models: The Case of Country Risk Assessment." Journal of Banking and Finance 19: 281-297.
45. Staikouras, S.K. 2005. "A Chronicle of the Banking and Currency Crises." Applied Economics Letters 11, no. 14: 873-878.
46. Stiglitz, J., and A. Weiss. 1981. "Credit Rationing in Markets with Imperfect Information." American Economic Review 71, no. 3: 393-410.