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- W2012602931 abstract "The paper sets out to explore the factors affecting the credit quality of the Latin American region. Specifically, a logit framework is employed based on macroeconomic and financial data to determine the causes of Latin American debt crises in the last two decades. The analysis uses a modification of the default indicator to explicitly incorporate country arrear capacity. A number of domestic and international signals are found to be important in determining earlier as well as recent incidents. Domestic fundamentals, however, bear a much heavier weight than global conditions, implying that policy-makers still enjoy some freedom in preventing crises by monitoring country vulnerability. Furthermore, the study focuses on the out-of-sample classification accuracy of the proposed estimator using various criteria and provides 1-, 2- and 3-year-ahead forecasts for country default probabilities. Predictive performance is satisfactory with a reasonable reduction in accuracy in the out-of-sample period. Nevertheless, the findings indicate an upward bias towards type II errors." @default.
- W2012602931 created "2016-06-24" @default.
- W2012602931 creator A5016836136 @default.
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- W2012602931 date "2006-10-01" @default.
- W2012602931 modified "2023-10-17" @default.
- W2012602931 title "An empirical investigation of the loan concentration risk in Latin America" @default.
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- W2012602931 doi "https://doi.org/10.1016/j.mulfin.2005.08.005" @default.
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