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Currency Crisis Early Warning Systems: Why They should be Dynamic

Author

Listed:
  • Bertrand Candelon
  • Christophe Hurlin
  • Elena Dumitnescu

Abstract

Traditionally, nancial crisis Early Warning Systems (EWSs) rely on macroeconomic leading indicators to forecast the occurrence of such events. This paper extends such discrete-choice EWSs by taking into account the persistence of the crisis phenomenon. T

Suggested Citation

  • Bertrand Candelon & Christophe Hurlin & Elena Dumitnescu, 2014. "Currency Crisis Early Warning Systems: Why They should be Dynamic," Working Papers 2014-161, Department of Research, Ipag Business School.
  • Handle: RePEc:ipg:wpaper:2014-161
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    More about this item

    Keywords

    dynamic models; currency crisis; Early Warning System.;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications

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