Un modelo de predicción de crisis financieras en los mercados emergentes: 1970 – 2009
[A Prediction Model of Financial Crises in Emerging Markets: 1970 - 2009]
AbstractIn this paper we describe one of the most important models on financial crisis prediction in emerging markets; we also present the results of the test of this model of “thresholds” using monthly data from 1970 to first quarter of 2009. The suggested model has been based on the signal approach of Kaminsky, Lizondo and Reinhart (1998). We obtain an identification of the main determinant factors of financial crisis (in the empiric sense of the present work) understood as an approximation to the probability of crisis in the short term.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 42403.
Date of creation: 06 Apr 2011
Date of revision:
Crisis financieras; mercados emergentes; modelos de predicción; modelos de alerta temprana;
Find related papers by JEL classification:
- F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
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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"Speculative Currency Attacks: Role of Inconsistent Macroeconomic Policies and Real Exchange Rate Overvaluation,"
Working Papers Central Bank of Chile
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- Graciela Kaminsky & Saul Lizondo & Carmen M. Reinhart, 1998.
"Leading Indicators of Currency Crises,"
IMF Staff Papers,
Palgrave Macmillan, vol. 45(1), pages 1-48, March.
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- Graciela Laura Kaminsky, 1997. "Leading Indicators of Currency Crises," IMF Working Papers 97/79, International Monetary Fund.
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