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A Study on KLR Financial Crisis Early-Warning Model

Author

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  • Jianping Shi

    (School of Finance, Central University of Finance and Economics, Beijing 100081, China)

  • Yu Gao

    (School of Finance, Central University of Finance and Economics, Beijing 100081, China)

Abstract

The financial crisis early-warning models were improved gradually with the continued regional financial crises that provided a wealth of empirical data by the end of last century. However, none of the crisis early-warning models correctly predicted the global financial crisis in 2008. Previous researches show the KLR model have better performance, so we reviewed the crisis early-warning system based on the KLR model using the recently data. This paper first tested the KLR model, and made some amendments based on the actual economic environment. Then we re-test the modified model, which show an improved performance. At last, the future crisis probabilities of some selected countries are predicted by using the amendatory model.

Suggested Citation

  • Jianping Shi & Yu Gao, 2010. "A Study on KLR Financial Crisis Early-Warning Model," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, vol. 5(2), pages 254-275, June.
    • Handle: RePEc:fec:journl:v:5:y:2010:i:2:p:254-275
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    File URL: http://journal.hep.com.cn/fec/EN/10.1007/s11459-010-0013-4
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    References listed on IDEAS

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    Cited by:

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    2. Tiziano Arduini & Giuseppe De Arcangelis & Carlo L. Del Bello, 2012. "Balance-of-Payments Crises During the Great Recession: Is This Time Different?," Review of International Economics, Wiley Blackwell, vol. 20(3), pages 517-534, August.
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    4. Stanislav Percic & Constantin-Marius Apostoaie & Vasile Cocris, 2013. "Early Warning Systems For Financial Crises.A Critical Approach," CES Working Papers, Centre for European Studies, Alexandru Ioan Cuza University, vol. 5(1), pages 77-88.
    5. Ruoxi Zhang & Xue Li & Satish Chand, 2018. "An Early Warning Of An Impending Currency Crisis In China," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 64(05), pages 1101-1125, July.

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    More about this item

    Keywords

    KLR model; emerging market; financial crisis; early-warning system;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

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