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Assessing Early Warning Systems; How Have they Worked in Practice?

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  • 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.

Suggested Citation

  • Andrew Berg & Eduardo Borensztein & Catherine A Pattillo, 2004. "Assessing Early Warning Systems; How Have they Worked in Practice?," IMF Working Papers 04/52, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:04/52
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Currency crises; Currencies; Foreign exchange; vulnerability indicators; crisis prediction; forecasting accuracy; balance of payments crisis; probability; predictions; currency crisis; probabilities; Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications

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