In search of insolvency among European countries

Figures & data

Table 1. Classification matrix.

Predicted	Event 1	Event 2
Event 1	p1	(1 - p1)
Event 2	(1 - p2)	p2

Source: Authors.

Table 2. Sample countries with periods of analysis.

Developed		Emerging
1980–2012	1981–2012	1980–2012	1993–2012	1996–2012
Austria	Netherland	Hungary	Latvia	Lithuania
Belgium	Portugal	Poland	Slovakia	Armenia
Cyprus	Spain	Romania	Azerbaijan	1997–2012
Denmark	Switzerland	Bulgaria	Belarus	Albania
Finland	United Kingdom	1981–2012	Slovenia	1998–2012
France	1982–2012	Turkey	Ukraine	Bosnia and Herzegovina
Germany	Sweden	1992–2012	1994–2012	1999–2012
Greece	1987–2012	Croatia	Estonia	Serbia
Iceland	Luxembourg	Kazakhstan	1995–2012	2001–2012
Ireland	1995–2012	Macedonia	Czech	Montenegro
Italy	Malta	Moldova	Georgia	Kosovo
Norway		Russia

Source: Authors.

Table 3. Default and rescheduling cases.

Country	Default/rescheduling
Azerbaijan	1994
Bulgaria	1990, 1998
Greece	2012
Iceland	2008
Ireland	2010
Latvia	2009
Poland	1982, 1990
Portugal	2011
Romania	1986, 1991
Russia	1993–1996, 1998–1999
Turkey	1982, 1994, 1999
Ukraine	1994, 1995, 1998–2000, 2009

Source: Prepared by the authors based on http://sovins.wordpress.com/, http://www.imf.org/external/index.htm, Nadmitov (2004), Yilanci and Ozcan (2008), and Reinhart and Rogoff (2010)

Table 4. Primary variables set.

Variable	Group	Variable	Group
Current account balance in US dollars, in billions	D	Inflation: end-of-period consumer prices, percentage change in inflation	I
Gross domestic product corresponding to fiscal year at current prices in the national currency, in billions	D	Inflation: end-of-period consumer prices, index	I
General government structural balance, percentage of potential GDP	D	Inflation: average consumer prices, percentage change	I
General government structural balance in the national currency, in billions	D	Inflation: average consumer prices, index	I
Current account balance, percentage of GDP	D	General government primary net lending/borrowing, percentage of GDP	L
Volume of imports of goods and services, percentage change	D	General government gross debt, percentage of GDP	L
Volume of imports of goods, percentage change	D	General government gross debt in the national currency, in billions	L
Volume of exports of goods, percentage change	D	General government net debt, percentage of GDP	L
Volume of exports of goods and services, percentage change	D	General government net debt in the national currency, in billions	L
Gross domestic product based on purchasing-power-parity (PPP) valuation of country GDP at current international dollars, in billions	D	General government net lending/borrowing, percentage of GDP	L
Output gap, percentage of potential GDP	D	General government primary net lending/borrowing in the national currency, in billions	L
Gross domestic product per capita at current prices, in US dollars	D	General government total expenditure, percentage of GDP	L
Gross domestic product per capita at current prices, in units of the national currency	D	General government total expenditure in the national currency, in billions	L
Gross domestic product per capita at constant prices, in units of the national currency	D	General government revenue, percentage of GDP	L
Gross domestic product deflator, index	D	General government revenue in the national currency, in billions	L
Gross domestic product at current prices in US dollars, in billions	D	General government net lending/borrowing in the national currency, in billions	L
Gross domestic product at current prices in the national currency, in billions	D	Gross national savings, percentage of GDP	L
Gross domestic product at constant prices, percentage change	D	Population, in millions	O
Gross domestic product based on purchasing-power-parity (PPP) per capita GDP at current international dollars	D	Unemployment rate, percentage of total labour force	O
Gross domestic product based on purchasing-power-parity (PPP), percentage share of world total	D	Total investment, percentage of GDP	O
Implied PPP conversion rate of the national currency per current international dollar	D
Gross domestic product at constant prices in the national currency, in billions	D

Source: Prepared by the authors based on CIA World Economic Outlook and IMF Economic Review.

Table 5. Unstandardised canonical discriminant function coefficients.

	Function 1
Volume of imports of goods and services, percentage change	.055
Volume of exports of goods and services, percentage change	-.032
Population, in millions	-.052
Gross domestic product based on purchasing-power-parity (PPP) valuation of country GDP at current international dollars, in billions	.002
Gross domestic product at constant prices, percentage change	.102
(Constant)	-.105

Source: Authors’ calculations.

Table 6. Functions at group centroids.

Group	Function 1
1	.083
2	-3.544

Source: Authors’ calculations.

Table 7. Classification results.

Group			Predicted group membership		Total
			1	2
Original	Count	1	1133	18	1151
		2	7	20	27
	%	1	98.4	1.6	100.0
		2	25.9	74.1	100.0
Cross-validated	Count	1	1132	19	1151
		2	8	18	27
	%	1	98.3	1.7	100.0
		2	29.6	70.4	100.0

Note: 1- non-bankrupt, 2-bankrupt.

Source: Authors’ calculations.

Table 8. Fisher’s classification function coefficients after removal of outliers.

	Group
	1	2
Population in millions	.015	.188
Volume of imports of goods and services, percentage change	.018	-.190
Volume of exports of goods and services, percentage change	.023	.140
Gross domestic product constant prices, percentage change	.108	-.251
Gross domestic product based on purchasing-power-parity (PPP) valuation of country GDP at current international dollars, in billions	.001	-.007
(Constant)	-.546	-9.396

Note: 1- non-bankrupt, 2-bankrupt.

Source: Authors’ calculations.

Table 9. Classification results^’ after removal of outliers.

Group			Predicted group membership		Total
			1	2
Original	Count	1	1132	18	1150
		2	7	18	25
	%	1	98.4	1.6	100.0
		2	28.0	72.0	100.0
Cross-validated	Count	1	1131	19	1150
		2	8	17	25
	%	1	98.3	1.7	100.0
		2	32.0	68.0	100.0

Note: 1- non-bankrupt, 2-bankrupt.

Source: Authors’ calculations.

Table 10. Intra-group correlation of the explanatory variables used in the final MDA model.

	Volume of imports of goods and services, percentage change	Volume of exports of goods and services, percentage change	Population, in millions	Gross domestic product based on purchasing-power-parity (PPP) valuation of country GDP at current international dollars, in billions	Gross domestic product at constant prices, percentage change
Volume of imports of goods and services, percentage change	1.000	.605	.076	-.027	.431
Volume of exports of goods and services, percentage change	.605	1.000	−.013	-.063	.423
Population, in millions	.076	-.013	1.000	.824	-.025
Gross domestic product based on purchasing-power-parity (PPP) valuation of country GDP in current international dollars, in billions	-.027	-.063	.824	1.000	-.078
Gross domestic product at constant prices, percentage change	.431	.423	-.025	-.078	1.000

Source: Authors’ calculations.

Table 11. Summarised results of probit and logit models in the base year.

	Hosmer-Lemeshow test	p-Value	Nagelkerke R2	Cox-Snell R2	AIC	BIC	Bankrupt cases correctly estimated (%)	Non-bankrupt cases correctly estimated (%)
Logit	9.8253	0.2775	0.599	0.117	122.1	152.5	99.8	48.1
Probit	13.863	0.0853	0.582	0.114	126.4	156.9	99.6	44.4

Note: AIC – Akaike information criterion, BIC – Bayesian information criterion.

Source: Authors’ calculations.

Table 12. Classification of results.

	T = 0		T = −1		T = −2
	1	2	1	2	1	2
MDA	98.3	70.4	98.6	40.7	98.6	30.4
Logit	99.8	48.2	99.7	29.6	99.9	19.23
Probit	99.6	44.4	99.7	22.2	99.9	11.5

Note: MDA=multivariate discriminant analysis; T=0, base year in which crisis appears; T = -1, one-period lag, T = -2, two-period lag; 1=non-bankrupt; 2=bankrupt.

Source: Authors’ calculations.

Nadmitov, A. (2004). Russian sovereign debt restructuring: The overview of 1990s and early 2000s, structure of debt, lessons of default, seizure problems and the IMF SDRM Proposal (88 p). LAP LAMBERT Academic Publishing.

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Yilanci, V. & Özcan, B. (2008). External debt sustainability of Turkey: A nonlinear approach. International Research of Finance and Economics, 20, 91–98.

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Reinhart, C. M., & Rogoff, K. S. (2010). From financial crash to debt crisis. NBER Working Paper, March, Issue No 15795.

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