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Early warning systems for sovereign debt crises: The role of heterogeneity

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  • Fuertes, Ana-Maria
  • Kalotychou, Elena

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  • Fuertes, Ana-Maria & Kalotychou, Elena, 2006. "Early warning systems for sovereign debt crises: The role of heterogeneity," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 1420-1441, November.
  • Handle: RePEc:eee:csdana:v:51:y:2006:i:2:p:1420-1441
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    11. Fuertes, Ana-Maria & Kalotychou, Elena, 2007. "On sovereign credit migration: A study of alternative estimators and rating dynamics," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3448-3469, April.
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    Cited by:

    1. Dawood, Mary & Horsewood, Nicholas & Strobel, Frank, 2017. "Predicting sovereign debt crises: An Early Warning System approach," Journal of Financial Stability, Elsevier, vol. 28(C), pages 16-28.
    2. Sarlin, Peter, 2013. "On policymakers’ loss functions and the evaluation of early warning systems," Economics Letters, Elsevier, vol. 119(1), pages 1-7.
    3. Dieter Gerdesmeier & Hans‐Eggert Reimers & Barbara Roffia, 2010. "Asset Price Misalignments and the Role of Money and Credit," International Finance, Wiley Blackwell, vol. 13(3), pages 377-407, Winter.
    4. Bartolucci, Francesco & Nigro, Valentina, 2007. "Maximum likelihood estimation of an extended latent Markov model for clustered binary panel data," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3470-3483, April.
    5. Roberto Savona & Marika Vezzoli, 2015. "Fitting and Forecasting Sovereign Defaults using Multiple Risk Signals," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(1), pages 66-92, February.
    6. Han-Hsing Lee & Kuanyu Shih & Kehluh Wang, 2016. "Measuring sovereign credit risk using a structural model approach," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1097-1128, November.
    7. Sarlin, Peter & Peltonen, Tuomas A., 2013. "Mapping the state of financial stability," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 46-76.
    8. Bellini, Tiziano & Riani, Marco, 2012. "Robust analysis of default intensity," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3276-3285.
    9. Sarlin, Peter & Ramsay, Bruce A., 2014. "Ending over-lending : Assessing systemic risk with debt to cash flow," Research Discussion Papers 11/2014, Bank of Finland.
    10. Bi-Huei Tsai & Chih-Huei Chang, 2010. "Predicting Financial Distress Based on the Credit Cycle Index: A Two-Stage Empirical Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 46(3), pages 67-79, May.
    11. Selin Sayek & Fatma Taskin, 2014. "Financial crises: lessons from history for today," Economic Policy, CEPR;CES;MSH, vol. 29(79), pages 447-493, July.
    12. Bi-Huei Tsai & Chih-Huei Chang, 2010. "Predicting Financial Distress Based on the Credit Cycle Index: A Two-Stage Empirical Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 46(3), pages 67-79, May.
    13. Fuertes, Ana-Maria, 2008. "Sieve bootstrap t-tests on long-run average parameters," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3354-3370, March.
    14. Fantazzini, Dean, 2008. "Credit Risk Management," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 12(4), pages 84-137.
    15. Thangjam Rajeshwar Singh, 2011. "An ordered probit model of an early warning system for predicting financial crisis in India," IFC Bulletins chapters,in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on "Initiatives to address data gaps revealed by the financial crisis", Basel, 25-26 August 2010, volume 34, pages 185-201 Bank for International Settlements.
    16. Alina Mihaela Dima & Simona Vasilache, 2016. "Credit Risk modeling for Companies Default Prediction using Neural Networks," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 127-143, September.
    17. Peltonen, Tuomas & Sarlin, Peter & Rancan, Michela, 2015. "Interconnectedness of the banking sector as a vulnerability to crises," Working Paper Series 1866, European Central Bank.
    18. Sarlin, Peter & Ramsay, Bruce A., 2015. "Ending over-lending: assessing systemic risk with debt to cash flow," Working Paper Series 1769, European Central Bank.

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