IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this paper

A Review and Bibliography of Early Warning Models

Listed author(s):
  • Yucel, Eray

This note is intended to share some observations regarding a non-exhaustive collection of the early warning literature from 1971 to 2011. Evolution of the interest in early warning models, methodological spectrum of studies and coverage of economic variables are briefly discussed in addition to providing a bibliography.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: https://mpra.ub.uni-muenchen.de/32893/1/MPRA_paper_32893.pdf
File Function: original version
Download Restriction: no

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 32893.

as
in new window

Length:
Date of creation: 18 Aug 2011
Handle: RePEc:pra:mprapa:32893
Contact details of provider: Postal:
Ludwigstraße 33, D-80539 Munich, Germany

Phone: +49-(0)89-2180-2459
Fax: +49-(0)89-2180-992459
Web page: https://mpra.ub.uni-muenchen.de

More information through EDIRC

References listed on IDEAS
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.:

as
in new window

  1. Andrew Berg & Eduardo Borensztein & Catherine Pattillo, 2005. "Assessing Early Warning Systems: How Have They Worked in Practice?," IMF Staff Papers, Palgrave Macmillan, vol. 52(3), pages 5-5.
  2. Diego Nocetti, 2006. "Central bank´s value at risk and financial crises: An application to the 2001 Argentine crisis," Journal of Applied Economics, Universidad del CEMA, vol. 9, pages 381-402, November.
  3. Soramäki, Kimmo & Bech, Morten L. & Arnold, Jeffrey & Glass, Robert J. & Beyeler, Walter E., 2007. "The topology of interbank payment flows," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 379(1), pages 317-333.
  4. Carmen M. Reinhart & Graciela L. Kaminsky, 1999. "The Twin Crises: The Causes of Banking and Balance-of-Payments Problems," American Economic Review, American Economic Association, vol. 89(3), pages 473-500, June.
  5. Davis, E. Philip & Karim, Dilruba, 2008. "Comparing early warning systems for banking crises," Journal of Financial Stability, Elsevier, vol. 4(2), pages 89-120, June.
  6. Reinhart, Carmen, 2002. "Default, currency crises, and sovereign credit ratings," MPRA Paper 13917, University Library of Munich, Germany.
  7. Reinhart, Carmen & Kaminsky, Graciela & Lizondo, Saul, 1998. "Leading Indicators of Currency Crises," MPRA Paper 6981, University Library of Munich, Germany.
  8. V. V. Chari & Patrick J. Kehoe, 2003. "Hot Money," Levine's Bibliography 506439000000000415, UCLA Department of Economics.
  9. Michael J. Dueker & Christopher J. Neely, 2006. "Can Markov switching models predict excess foreign exchange returns?," Working Papers 2001-021, Federal Reserve Bank of St. Louis.
  10. Feder, Gershon & Just, Richard & Ross, Knud, 1981. "Projecting Debt Servicing Capacity of Developing Countries," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 16(05), pages 651-669, December.
  11. Biswa N. Bhattacharyay & Dennis Dlugosch & Benedikt Kolb & Kajal Lahiri & Irshat Mukhametov & Gernot Nerb, 2009. "Early Warning System for Economic and Financial Risks in Kazakhstan," CESifo Working Paper Series 2832, CESifo Group Munich.
  12. Lestano & Jacobs, Jan & Kuper, Gerard H., 2003. "Indicators of financial crises do work! : an early-warning system for six Asian countries," CCSO Working Papers 200313, University of Groningen, CCSO Centre for Economic Research.
  13. Catherine A Pattillo & Andrew Berg, 1998. "Are Currency Crises Predictable? A Test," IMF Working Papers 98/154, International Monetary Fund.
  14. Leni Hunter, 2008. "The relationship between monetary and financial stability," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 71, June.
  15. Michael C. Jensen, 1994. "The Modern Industrial Revolution, Exit, And The Failure Of Internal Control Systems," Journal of Applied Corporate Finance, Morgan Stanley, vol. 6(4), pages 4-23.
  16. Rose, Andrew K & Spiegel, Mark, 2009. "Cross-Country Causes and Consequences of the 2008 Crisis: Early Warning," CEPR Discussion Papers 7354, C.E.P.R. Discussion Papers.
  17. Daley, J. & Matthews, K. & Whitfield, K., 2008. "Too-big-to-fail: Bank failure and banking policy in Jamaica," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(3), pages 290-303, July.
  18. Kevin Dowd & David Blake, 2006. "After VaR: The Theory, Estimation, and Insurance Applications of Quantile-Based Risk Measures," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(2), pages 193-229.
  19. M. Mete Doğanay & Nildağ Başak Ceylan & Ramazan Aktaş, 2006. "Predicting Financial Failure Of The Turkish Banks," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(01), pages 1-19.
  20. Anne O. Krueger, 1998. "Whither the World Bank and the IMF?," Journal of Economic Literature, American Economic Association, vol. 36(4), pages 1983-2020, December.
  21. Marcus Miller & Pongsak Luangaram, 1998. "Financial Crisis in East Asia: Bank Runs, Asset Bubbles and Antidotes," CSGR Working papers series 11/98, Centre for the Study of Globalisation and Regionalisation (CSGR), University of Warwick.
  22. Norman R. Swanson & Nii Ayi Armah, 2011. "Some Variables are More Worthy Than Others: New Diffusion Index Evidence on the Monitoring of Key Economic Indicators," Departmental Working Papers 201115, Rutgers University, Department of Economics.
  23. Sumit Sarkar & Ram S. Sriram, 2001. "Bayesian Models for Early Warning of Bank Failures," Management Science, INFORMS, vol. 47(11), pages 1457-1475, November.
  24. Gary Whalen & James B. Thomson, 1988. "Using financial data to identify changes in bank condition," Economic Review, Federal Reserve Bank of Cleveland, issue Q II, pages 17-26.
  25. Ho, Thomas S Y & Saunders, Anthony, 1980. " A Catastrophe Model of Bank Failure," Journal of Finance, American Finance Association, vol. 35(5), pages 1189-1207, December.
  26. Atsushi Inoue & Barbara Rossi, 2008. "Monitoring and Forecasting Currency Crises," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2-3), pages 523-534, 03.
  27. Kathryn M. E. Dominguez, 2006. "The European Central Bank, the Euro, and Global Financial Markets," Journal of Economic Perspectives, American Economic Association, vol. 20(4), pages 67-88, Fall.
  28. Bongini, Paola & Laeven, Luc & Majnoni, Giovanni, 2002. "How good is the market at assessing bank fragility? A horse race between different indicators," Journal of Banking & Finance, Elsevier, vol. 26(5), pages 1011-1028, May.
  29. Briance Mascarenhas & Ole Christian Sand, 1989. "Combination of Forecasts in the International Context: Predicting Debt Reschedulings," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 20(3), pages 539-552, September.
  30. Irfan Civcir, 2003. "Before the Fall, Was the Turkish Lira Overvalued?," Eastern European Economics, M.E. Sharpe, Inc., vol. 41(2), pages 69-99, March.
  31. Alessi, Lucia & Detken, Carsten, 2009. "'Real time'early warning indicators for costly asset price boom/bust cycles: a role for global liquidity," Working Paper Series 1039, European Central Bank.
  32. Cem Payaslioglu, 2009. "A tail index tour across foreign exchange rate regimes in Turkey," Applied Economics, Taylor & Francis Journals, vol. 41(3), pages 381-397.
  33. Fratzscher, Marcel & Matthieu Bussiere, 2003. "Towards A New Early Warning System of Financial Crises," Royal Economic Society Annual Conference 2003 81, Royal Economic Society.
  34. R. Gaston Gelos & Shang-Jin Wei, 2005. "Transparency and International Portfolio Holdings," Journal of Finance, American Finance Association, vol. 60(6), pages 2987-3020, December.
  35. Marc Klau & John Hawkins, 2000. "Measuring potential vulnerabilities in emerging market economies," BIS Working Papers 91, Bank for International Settlements.
  36. Altman, Edward I, 1971. "Railroad Bankruptcy Propensity," Journal of Finance, American Finance Association, vol. 26(2), pages 333-345, May.
  37. S. DeVicerte & P. Alvarez & J. Perez & C. Caso, 2008. "Does currency crisis identification matter?," Applied Financial Economics, Taylor & Francis Journals, vol. 18(5), pages 387-395.
  38. John Simon, 1996. "A Markov-switching Model of Inflation in Australia," RBA Research Discussion Papers rdp9611, Reserve Bank of Australia.
  39. Patrick L. Brockett & Linda L. Golden & Jaeho Jang & Chuanhou Yang, 2006. "A Comparison of Neural Network, Statistical Methods, and Variable Choice for Life Insurers' Financial Distress Prediction," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(3), pages 397-419.
  40. Charles Goodhart, 2008. "The Regulatory Response to the Financial Crisis," FMG Special Papers sp177, Financial Markets Group.
  41. Bragoli, Daniela & Ganugi, Piero & Ianulardo, Giancarlo, 2009. "Gini’s Transvariation Analysis:An Application on Financial Crises in Developing Countries," Department of Economics Working Papers 15963, University of Bath, Department of Economics.
  42. Pettway, Richard H., 1980. "Potential Insolvency, Market Efficiency, and Bank Regulation of Large Commercial Banks," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(01), pages 219-236, March.
  43. Flannery, Mark J, 1998. "Using Market Information in Prudential Bank Supervision: A Review of the U.S. Empirical Evidence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 30(3), pages 273-305, August.
  44. Ronald A Johnson & Venkat Srinivasan & Paul J Bolster, 1990. "Sovereign Debt Ratings: A Judgmental Model Based on the Analytic Hierarchy Process," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 21(1), pages 95-117, March.
  45. William R Folks & Stanley R Stansell, 1975. "The Use of Discriminant Analysis in Forecasting Exchange Rate Movements," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 6(1), pages 33-50, March.
  46. Sinkey, Joseph F, Jr, 1975. "A Multivariate Statistical Analysis of the Characteristics of Problem Banks," Journal of Finance, American Finance Association, vol. 30(1), pages 21-36, March.
  47. repec:eid:wpaper:16/09 is not listed on IDEAS
  48. Graciela Laura Kaminsky, 1999. "Currency and Banking Crises; The Early Warnings of Distress," IMF Working Papers 99/178, International Monetary Fund.
  49. Aharony, Joseph & Swary, Itzhak, 1983. "Contagion Effects of Bank Failures: Evidence from Capital Markets," The Journal of Business, University of Chicago Press, vol. 56(3), pages 305-322, July.
  50. repec:dgr:rugccs:200313 is not listed on IDEAS
  51. repec:nsr:niesrd:330 is not listed on IDEAS
  52. John B Morgan, 1986. "A New Look at Debt Rescheduling Indicators and Models," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 17(2), pages 37-54, June.
  53. Kent Osband & Caroline Van Rijckeghem, 2000. "Safety from Currency Crashes," IMF Staff Papers, Palgrave Macmillan, vol. 47(2), pages 4-4.
  54. Sinkey, Joseph F., 1977. "Identifying Large Problem/Failed Banks: The Case of Franklin National Bank of New York," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(05), pages 779-800, December.
  55. Bayoumi, Tamim & Fazio, Giorgio & Kumar, Manmohan & MacDonald, Ronald, 2007. "Fatal attraction: Using distance to measure contagion in good times as well as bad," Review of Financial Economics, Elsevier, vol. 16(3), pages 259-273.
  56. Steven D. Levitt & Christopher M. Snyder, 1997. "Is No. News Bad News? Information Transmission and the Role of "Early Warning" in the Principal-Agent Model," RAND Journal of Economics, The RAND Corporation, vol. 28(4), pages 641-661, Winter.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:32893. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.