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Early Warning Systems with Real-Time Data

Author

Listed:
  • Romero Alberto
  • Kuper Gerard H.
  • Jan P.A.M. Jacobs
  • Boonman Tjeerd

Abstract

This paper investigates the performance of early warning systems in real-time, using forecasts of indicators that were available at the moment predictions are to be made. The study analyzes currency crises in eight Latin American and Central and Eastern European countries, distinguishing an estimation period 1990-2009 and a prediction period 2010-2014. We apply two varieties of early warning systems: the signal approach and the logit models. For both methods we find that using forecasts of the indicators worsens the predictive ability of early warning systems compared to using the most recently available information (ex post).

Suggested Citation

  • Romero Alberto & Kuper Gerard H. & Jan P.A.M. Jacobs & Boonman Tjeerd, 2017. "Early Warning Systems with Real-Time Data," Working Papers 2017-16, Banco de México.
    • Handle: RePEc:bdm:wpaper:2017-16
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    File URL: https://www.banxico.org.mx/publications-and-press/banco-de-mexico-working-papers/%7B0BCAC603-1950-00E8-E72A-0193AFDFCFB1%7D.pdf
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    Cited by:

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    More about this item

    Keywords

    Real-time data; Early warning system; Signal approach; Logit model; Emerging economies;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G01 - Financial Economics - - General - - - Financial Crises

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