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Anticipating Arrears to the IMF: Early Warning Systems

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

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Length: 35 pages
Date of creation: 25 Feb 2003
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Handle: RePEc:imf:imfwpa:03/18

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Related research
Keywords: Overdue obligations ; Credit ;

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  1. Kaminsky, Graciela & Lizondo, Saul & Reinhart, Carmen M., 1997. "Leading indicators of currency crises," Policy Research Working Paper Series 1852, The World Bank. [Downloadable!]
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  2. Christian B. Mulder & Matthieu Bussiere, 1999. "Political Instability and Economic Vulnerability," IMF Working Papers 99/46, International Monetary Fund. [Downloadable!]
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  3. Frankel, Jeffrey A. & Rose, Andrew K., 1996. "Currency crashes in emerging markets: An empirical treatment," Journal of International Economics, Elsevier, vol. 41(3-4), pages 351-366, November. [Downloadable!] (restricted)
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  4. Catherine A. Pattillo & Andrew Berg, 1998. "Are Currency Crises Predictable? A Test," IMF Working Papers 98/154, International Monetary Fund.
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  5. 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. [Downloadable!]
  6. Hajivassiliou, V. A., 1989. "Do the secondary markets believe in life after debt?," Policy Research Working Paper Series 252, The World Bank. [Downloadable!]
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  7. Roberto Perrelli & Manuel De la Rocha & 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.
  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. Berg, Andrew & Sachs, Jeffrey, 1988. "The debt crisis structural explanations of country performance," Journal of Development Economics, Elsevier, vol. 29(3), pages 271-306, November. [Downloadable!] (restricted)
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  10. Eduardo Borensztein & Gian Maria Milesi-Ferretti & Catherine A. Pattillo & Andrew Berg, 2000. "Anticipating Balance of Payments Crises--The Role of Early Warning Systems," IMF Occasional Papers 186, International Monetary Fund.
  11. 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. [Downloadable!] (restricted)
  12. Enrica Detragiache & Asli Demirgüç-Kunt, 1999. "Monitoring Banking Sector Fragility - A Multivariate Logit Approach," IMF Working Papers 99/147, International Monetary Fund.
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  13. Enrica Detragiache & Antonio Spilimbergo, 2001. "Crises and Liquidity - Evidence and Interpretation," IMF Working Papers 01/2, International Monetary Fund. [Downloadable!]
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