Currency Crises Early Warning Systems: why they should be Dynamic
AbstractThis paper introduces a new generation of Early Warning Systems (EWS) which takes into account dynamics within a system composed by binary variables. We elaborate on Kauppi and Saikonnen (2008), which allows to consider several dynamic specifications and to use an exact maximum likelihood estimation method. Applied so as to predict currency crises for fifteen countries, this new EWS turns out to exhibit significantly better predictive abilities than the existing models both within and out of the sample.
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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 047.
Date of creation: 2010
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financial economics and financial management ;
Other versions of this item:
- Candelon Bertrand & Dumitrescu Elena-Ivona & Hurlin Christophe, 2010. "Currency Crises Early Warning Systems: why they should be Dynamic," Research Memorandum 047, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- NEP-ALL-2010-10-09 (All new papers)
- NEP-ECM-2010-10-09 (Econometrics)
- NEP-FOR-2010-10-09 (Forecasting)
- NEP-IFN-2010-10-09 (International Finance)
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