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Optimal design of early warning systems for sovereign debt crises

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  • Fuertes, Ana-Maria
  • Kalotychou, Elena

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Bibliographic Info

Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 23 (2007)
Issue (Month): 1 ()
Pages: 85-100

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Handle: RePEc:eee:intfor:v:23:y:2007:i:1:p:85-100

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Web page: http://www.elsevier.com/locate/ijforecast

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References

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  1. Richard Cantor & Frank Packer, 1996. "Determinants and impacts of sovereign credit ratings," Research Paper 9608, Federal Reserve Bank of New York.
  2. Frankel, Jeffrey A. & Rose, Andrew K., 1996. "Currency crashes in emerging markets: An empirical treatment," Journal of International Economics, Elsevier, vol. 41(3-4), pages 351-366, November.
  3. Bussiere, Matthieu & Fratzscher, Marcel, 2006. "Towards a new early warning system of financial crises," Journal of International Money and Finance, Elsevier, Elsevier, vol. 25(6), pages 953-973, October.
  4. Gupta, Sunil & Wilton, Peter C, 1988. "Combination of Economic Forecasts: An Odds-Matrix Approach," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 6(3), pages 373-79, July.
  5. Reinhart, Carmen & Kaminsky, Graciela, 1999. "The twin crises: The causes of banking and balance of payments problems," MPRA Paper 14081, University Library of Munich, Germany.
  6. Reinhart, Carmen & Kaminsky, Graciela & Lizondo, Saul, 1998. "Leading Indicators of Currency Crises," MPRA Paper 6981, University Library of Munich, Germany.
  7. Clemen, Robert T. & Murphy, Allan H. & Winkler, Robert L., 1995. "Screening probability forecasts: contrasts between choosing and combining," International Journal of Forecasting, Elsevier, Elsevier, vol. 11(1), pages 133-145, March.
  8. Kamastra, M & Kennedy, P, 1996. "Combining Qualitative Forecasts Using Logit," Discussion Papers dp96-08, Department of Economics, Simon Fraser University.
  9. Axel Schimmelpfennig & Nouriel Roubini & Paolo Manasse, 2003. "Predicting Sovereign Debt Crises," IMF Working Papers 03/221, International Monetary Fund.
  10. Berg, Andrew & Pattillo, Catherine, 1999. "Predicting currency crises:: The indicators approach and an alternative," Journal of International Money and Finance, Elsevier, Elsevier, vol. 18(4), pages 561-586, August.
  11. W. R. M. Perraudin & Manmohan S. Kumar & Uma Moorthy, 2002. "Predicting Emerging Market Currency Crashes," IMF Working Papers 02/7, International Monetary Fund.
  12. Enrica Detragiache & Antonio Spilimbergo, 2001. "Crises and Liquidity," IMF Working Papers 01/2, International Monetary Fund.
  13. Briance Mascarenhas & Ole Christian Sand, 1989. "Combination of Forecasts in the International Context: Predicting Debt Reschedulings," Journal of International Business Studies, Palgrave Macmillan, vol. 20(3), pages 539-552, September.
  14. Lee, Suk Hun, 1993. "Are the credit ratings assigned by bankers based on the willingness of LDC borrowers to repay?," Journal of Development Economics, Elsevier, vol. 40(2), pages 349-359, April.
  15. Fair, Ray C & Shiller, Robert J, 1990. "Comparing Information in Forecasts from Econometric Models," American Economic Review, American Economic Association, vol. 80(3), pages 375-89, June.
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Cited by:
  1. Paolo Manasse & Roberto Savona & Marika Vezzoli, 2013. "Rules of Thumb for Banking Crises in Emerging Markets," Working Papers 481, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  2. Roberto Savona & Marika Vezzoli, 2012. "Fitting and Forecasting Sovereign Defaults Using Multiple Risk Signals," Working Papers 2012_26, Department of Economics, University of Venice "Ca' Foscari".
  3. Candelon Bertrand & Dumitrescu Elena-Ivona & Hurlin Christophe, 2010. "How to evaluate an Early Warning System? Towards a United Statistical Framework for Assessing Financial Crises Forecasting Methods," Research Memorandum 046, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).

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