Kapp, Daniel and Vega, Marco (2012): Real output costs of financial crises: a loss distribution approach.
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We study cross-country GDP losses due to financial crises in terms of frequency (number of loss events per period) and severity (loss per occurrence). We perform the Loss Distribution Approach (LDA) to estimate a multi-country aggregate GDP loss probability density function and the percentiles associated to extreme events due to financial crises.
We find that output losses arising from financial crises are strongly heterogeneous and that currency crises lead to smaller output losses than debt and banking crises. Extreme global financial crises episodes, occurring with a one percent probability every five years, lead to losses between 2.95% and 4.54% of world GDP.
|Item Type:||MPRA Paper|
|Original Title:||Real output costs of financial crises: a loss distribution approach|
|Keywords:||Financial Crisis, Severity, Frequency, LDA|
|Subjects:||G - Financial Economics > G2 - Financial Institutions and Services > G22 - Insurance; Insurance Companies
G - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General
G - Financial Economics > G0 - General > G01 - Financial Crises
|Depositing User:||Marco Vega|
|Date Deposited:||23. May 2012 20:53|
|Last Modified:||13. Feb 2013 03:05|
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Real output costs of financial crises: a loss distribution approach. (deposited 05. Jan 2012 00:38)
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