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Assessing Early Warning Systems

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Author Info

  • Andrew Berg
  • Eduardo Borensztein
  • Catherine A. Pattillo

Abstract

Since 1999, the IMF''s staff has been tracking several early-warning-system (EWS) models of currency crisis. The results have been mixed. One of the long-horizon models has performed well relative to pure guesswork and to available non-model-based forecasts, such as agency ratings and private analysts'' currency crisis risk scores. The data do not speak clearly on the other long-horizon EWS model. The two short-horizon private sector models generally performed poorly.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 04/52.

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Length: 45
Date of creation: 01 Mar 2004
Date of revision:
Handle: RePEc:imf:imfwpa:04/52

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Related research

Keywords: Economic indicators; Economic forecasting; Forecasting models; probability; currency crises; predictions; currency crisis; probabilities; prediction; pre-crisis; contagion; forecasting; crisis countries; standard errors; goodness of fit; crisis probabilities; crisis probability; asian crisis; surveys; early warning system; early warning systems; statistical tests; speculative attacks; models of currency crisis; correlation; exchange rate crisis; payments crisis; standard error; statistical significance; rating agencies; banking crisis; banking crises; probability model; estimation period; crisis episodes; balance of payments crisis; currency depreciation; samples; crisis country; crisis in emerging markets; nonlinear model; financial crisis; standard deviations; credit booms; statistical method; debt crisis; computation; financial crises; corporate sector; survey; mexican peso crisis; recession; econometrics; equation; autocorrelation; crisis index; number of variables; probability value; correlations; discriminant analysis; type 1 errors; parsimonious model; type 2 errors;

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References

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  1. Catherine A. Pattillo & Andrew Berg & Gian-Maria Milesi-Ferretti & Eduardo Borensztein, 2000. "Anticipating Balance of Payments Crises," IMF Occasional Papers 186, International Monetary Fund.
  2. Goldfajn, Ilan & Valdes, Rodrigo O., 1998. "Are currency crises predictable?," European Economic Review, Elsevier, Elsevier, vol. 42(3-5), pages 873-885, May.
  3. Richard Hemming & Axel Schimmelpfennig & Michael Kell, 2003. "Fiscal Vulnerability and Financial Crises in Emerging Market Economies," IMF Occasional Papers 218, International Monetary Fund.
  4. 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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  12. Burkart, O. & Coudert, V., 2000. "Leading Indicators of Currency Crises in Emerging Economies," Working papers, Banque de France 74, Banque de France.
  13. 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.
  14. Axel Schimmelpfennig & Nouriel Roubini & Paolo Manasse, 2003. "Predicting Sovereign Debt Crises," IMF Working Papers 03/221, International Monetary Fund.
  15. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, Elsevier, vol. 14(1-2), pages 3-24, February.
  16. Abdul Abiad, 2003. "Early Warning Systems," IMF Working Papers 03/32, International Monetary Fund.
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