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A Probit Model Towards the Prediction of Financial Crises

Author

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  • Feridun, Mete

    (Faculty of Economics and Administrative Sciences, Cyprus International University)

Abstract

This article focuses on the Turkish financial crisis of 2001 and aims at devising an early warning system based on a probit model incorporating six monthly macroeconomic variables spanning the period between 1991 and 2001. Regression results indicate that consumer price index, Turkish Lira/US dollar exchange rate, and domestic credit are the significant variables in explaining financial crises. Results of the out-of-sample tests indicate that the predictive power of the probit model is satisfactory.

Suggested Citation

  • Feridun, Mete, 2004. "A Probit Model Towards the Prediction of Financial Crises," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 57(4), pages 429-440.
    • Handle: RePEc:ris:ecoint:0123
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    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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