How to evaluate an Early Warning System? Towards a United Statistical Framework for Assessing Financial Crises Forecasting Methods
AbstractThis paper proposes a new statistical framework originating from the traditional credit-scoring literature, to evaluate currency crises Early Warning Systems (EWS). Based on an assessment of the predictive power of panel logit and Markov frameworks, the panel logit model is outperforming the Markov switching specitcations. Furthermore, the introduction of forward-looking variables clearly improves the forecasting properties of the EWS. This improvement confirms the adequacy of the second generation crisis models in explaining the occurrence of crises.
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Bibliographic InfoPaper provided by Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization in its series Research Memoranda with number 046.
Date of creation: 2010
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Web page: http://www.maastrichtuniversity.nl/web/UMPublications.htm
Other versions of this item:
- 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).
- NEP-ALL-2010-12-04 (All new papers)
- NEP-BAN-2010-12-04 (Banking)
- NEP-CBA-2010-12-04 (Central Banking)
- NEP-ECM-2010-12-04 (Econometrics)
- NEP-FOR-2010-12-04 (Forecasting)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Lestano & Jacobs, Jan P.A.M., 2004. "A comparison of currency crisis dating methods: East Asia 1970-2002," CCSO Working Papers 200412, University of Groningen, CCSO Centre for Economic Research.
- Mohammad Karimi & Marcel-Cristian Voia, 2011. "Empirics of Currency Crises: A Duration Analysis Approach," Carleton Economic Papers 11-11, Carleton University, Department of Economics.
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