NBER Working Papers by Stijn Claessens

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Working Papers

November 2012Systemic Risks in Global Banking: What Available Data can tell us and What More Data are Needed?
with Eugenio Cerutti, Patrick McGuire: w18531
The recent financial crisis has shown how interconnected the financial world has become. Shocks in one location or asset class can have a sizable impact on the stability of institutions and markets around the world. But systemic risk analysis is severely hampered by the lack of consistent data that capture the international dimensions of finance. While currently available data can be used more effectively, supervisors and other agencies need more and better data to construct even rudimentary measures of risks in the international financial system. Similarly, market participants need better information on aggregate positions and linkages to appropriately monitor and price risks. Ongoing initiatives that will help in closing data gaps include the G20 Data Gaps Initiative, which recommends th...

Published: Systemic Risks in Global Banking: What Available Data Can Tell Us and What More Data Are Needed?, Eugenio Cerutti, Stijn Claessens, Patrick McGuire. in Risk Topography: Systemic Risk and Macro Modeling, Brunnermeier and Krishnamurthy. 2014

August 2011From the Financial Crisis to the Real Economy: Using Firm-level Data to Identify Transmission Channels
with Hui Tong, Shang-Jin Wei: w17360
Using accounting data for 7722 non-financial firms in 42 countries, we examine how the 2007-2009 crisis affected firm performance and how various linkages propagated shocks across borders. We isolate and compare effects from changes in external financing conditions, domestic demand, and international trade on firms' profits, sales and investment using both sectoral benchmarks and firm-specific sensitivities estimated prior to the crisis. We find that the crisis had a bigger negative impact on firms with greater sensitivity to demand and trade, particularly in countries more open to trade. Interestingly, financial openness appears to have made limited difference.


July 2001Financial Restructuring in Banking and Corporate Sector Crises: What Policies to Pursue?
with Daniela Klingebiel, Luc Laeven: w8386
We review the literature on resolving bank and corporate sector crises to identify government policies that affect the depth of a crisis and the ease and sustainability of recovery, and to analyze their fiscal cost. A consistent framework - including sufficient resources for loss-absorption and private agents facing the right framework of sticks and carrots - is the, although often missing key to successful bank and corporate restructuring. Sustainability of restructuring calls for deeper structural reforms, which often requires dealing with political economy factors up-front. Using data for 687 corporations from eight crisis countries, we find empirically that a package of specific resolution measures can help accelerate the recovery from a crisis. These policies, however, come with signi...
December 1993The Effect of Equity Barriers on Foreign Investment in Developing Countries
with Moon-Whoan Rhee: w4579
This paper investigates stock performance in emerging markets in relation to their accessibility by foreign investors (as measured by the investability index of the IFC). Using the Stehle (1977) model, we reject for most markets integration and fail to reject for all segmentation. We find that there is a positive relationship between a stock's P/E-ratio and its investability index for most emerging markets, suggesting that barriers to access by foreigners have a negative impact. For four markets, this result is robust to the inclusion of the world beta and the degree of international spanning of the domestic market. A significant negative relationship between the investability index and stock return is only found for Jordan. This is likely because the effects of changes in the degree o...


Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

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