Vulnerability Assessments of the External Sector: EWS Model for Capital Flows
AbstractThis research project is implemented as part of the on-going work of the SEACEN Expert Group (SEG) on Capital Flows. It aims to further utilise the SEG data that have been regularly reported to the SEACEN Centre and shared among the SEG members. The project aims to establish a regional Early Warning System (EWS) model to support the data analysis work at the SEACEN Centre. As the SEG EWS is for capital flows, a signaling, non-parametric approach was applied to all the candidate variables and contagion-related variables in order to obtain good leading indicators, which could serve as a warning signal for capital flow crisis. More than 30 variables passed the noise-signal ratio test. All these variables are then combined into a composite index (CI) and five sectoral indices. These indices were then tested for their abilities in predicting capital flow crisis. Due to limited availability of data, the study was not able to conduct an out-of-sample test for the CI. However, conditional probabilities of the CI in some ranges were examined and they were found to be capable for monitoring and assessing adverse movements of capital flows. While more rigorous tests on the robustness of the model are required, the initial results suggest that the model has a good potential to provide early warnings of capital flows reversal in the SEG region. Further work to refine the model, however, will require more data of high quality, which in turn requires cooperation from SEG members in submitting these data. At the 5th SEG Meeting, the SEG agreed that the EWS model could be useful and suggested further refinements on the model. The SEG also suggested that the revised model should be discussed at the 3rd Technical SEG Meeting to be conducted during the 3rd quarter of OY 2005/06. The final model should be presented to the SEG again. It was also agreed that when the model is finalised, a report providing a snapshot of the CI and signals of the individual indicators should be shared among the member countries every quarter.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoThis book is provided by South East Asian Central Banks (SEACEN) Research and Training Centre in its series Research Studies with number rp57 and published in 2005.
Contact details of provider:
Postal: Level 5, Sasana Kijang, Bank Negara Malaysia, 2 Jalan Dato? Onn, 50480 Kuala Lumpur
Phone: 603-9195 1888
Fax: 603-9195 1801
Web page: http://edirc.repec.org/data/seacemy.html
More information through EDIRC
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Yunyee).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.