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Anticipating Arrears to the IMF Early Warning Systems

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  • Chikako Oka
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    Abstract

    This paper attempts to predict the incidence of arrears to the International Monetary Fund (IMF) by modifying and applying two of the major early warning systems for currency crises: the "signals" approach proposed by Kaminsky, Lizondo, and Reinhart (1997) and the probit-based alternative developed by Berg and Pattillo (1998). The results, based on both in-sample and out-of-sample tests, appear encouraging. While the unique nature of IMF arrears poses some challenges, the models could be useful tools for identifying countries at high risk of incurring arrears to the IMF.

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    Bibliographic Info

    Paper provided by International Monetary Fund in its series IMF Working Papers with number 03/18.

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    Length: 35
    Date of creation: 01 Jan 2003
    Date of revision:
    Handle: RePEc:imf:imfwpa:03/18

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    Related research

    Keywords: Credit risk; Overdue obligations; probability; currency crises; debt service; external debt; debt outstanding; probabilities; total external debt; balance of payments; goodness of fit; correlations; debt crisis; forecasting; statistics; debt service to exports; sample size; official creditors; equation; debt ratios; missing data; counting; independent variables; short-term debt; statistic; dummy variable; debt sustainability; external borrowing; external financing; number of variables; repayments; sovereign debt; external debt sustainability; frequency distribution; explanatory power; ratio of debt; standard deviations; financial statistics; indebted country; international debt; payment arrears; current account; heavily indebted country; government deficits; statistical significance; predictions; currency crisis; debt obligations; debt service obligations; sensitivity analysis; balance of payment; external debt obligations; debt default; debt problems; significance levels;

    References

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    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.:
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    1. Vassilis A. Hajivassiliou, 1989. "Do the Secondary Markets Believe in Life After Debt?," Cowles Foundation Discussion Papers 911, Cowles Foundation for Research in Economics, Yale University.
    2. Enrica Detragiache & Antonio Spilimbergo, 2001. "Crises and Liquidity," IMF Working Papers 01/2, International Monetary Fund.
    3. Feder, Gershon & Uy, Lily V., 1985. "The determinants of international creditworthiness and their policy implications," Journal of Policy Modeling, Elsevier, vol. 7(1), pages 133-156.
    4. Enrica Detragiache & Asli Demirgüç-Kunt, 1999. "Monitoring Banking Sector Fragility," IMF Working Papers 99/147, International Monetary Fund.
    5. Kaminsky, Graciela & Lizondo, Saul & Reinhart, Carmen M., 1997. "Leading indicators of currency crises," Policy Research Working Paper Series 1852, The World Bank.
    6. Manuel De la Rocha & Roberto Perrelli & Christian B. Mulder, 2002. "The Role of Corporate, Legal and Macroeconomic Balance Sheet Indicators in Crisis Detection and Prevention," IMF Working Papers 02/59, International Monetary Fund.
    7. Catherine A. Pattillo & Andrew Berg & Gian-Maria Milesi-Ferretti & Eduardo Borensztein, 2000. "Anticipating Balance of Payments Crises," IMF Occasional Papers 186, International Monetary Fund.
    8. Lynn Aylward & Rupert Thorne, 1998. "An Econometric Analysis of Countries' Repayment Performance to the International Monetary Fund," IMF Working Papers 98/32, International Monetary Fund.
    9. Reinhart, Carmen & Goldstein, Morris & Kaminsky, Graciela, 2000. "Assessing financial vulnerability, an early warning system for emerging markets: Introduction," MPRA Paper 13629, University Library of Munich, Germany.
    10. Jeffrey A. Frankel & Andrew K. Rose, 1996. "Currency crashes in emerging markets: an empirical treatment," International Finance Discussion Papers 534, Board of Governors of the Federal Reserve System (U.S.).
    11. Bussiere, Matthieu & Mulder, Christian, 2000. "Political Instability and Economic Vulnerability," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 5(4), pages 309-30, October.
    12. Andrew Berg & Jeffrey Sachs, 1988. "The Debt Crisis: Structural Explanations of Country Performance," NBER Working Papers 2607, National Bureau of Economic Research, Inc.
    13. Andrew Berg & Catherine Pattillo, 1999. "Are Currency Crises Predictable? A Test," IMF Staff Papers, Palgrave Macmillan, vol. 46(2), pages 1.
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    Cited by:
    1. Fantazzini, Dean, 2008. "Credit Risk Management," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 12(4), pages 84-137.
    2. Ana-Maria Fuertes & Elena Kalotychou, 2004. "Forecasting sovereign default using panel models: A comparative analysis," Computing in Economics and Finance 2004 228, Society for Computational Economics.

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