TY - UNPB
T1 - Gini’s Transvariation Analysis
T2 - An Application on Financial Crises in Developing Countries
AU - Bragoli, Daniela
AU - Ganugi, Piero
AU - Ianulardo, Giancarlo
PY - 2009
Y1 - 2009
N2 - 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 analyze financial
crises. The 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.
AB - 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 analyze financial
crises. The 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.
M3 - Working paper
T3 - Bath Economics Research Working Papers
BT - Gini’s Transvariation Analysis
PB - Department of Economics, University of Bath
CY - Bath, U. K.
ER -