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A Review and Bibliography of Early Warning Models

  • 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.

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

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Date of creation: 18 Aug 2011
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Handle: RePEc:pra:mprapa:32893
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  1. 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.
  2. repec:nsr:niesrd:330 is not listed on IDEAS
  3. 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.
  4. V. V. Chari & Patrick Kehoe, 1997. "Hot Money," NBER Working Papers 6007, National Bureau of Economic Research, Inc.
  5. Fratzscher, Marcel & Matthieu Bussiere, 2003. "Towards A New Early Warning System of Financial Crises," Royal Economic Society Annual Conference 2003 81, Royal Economic Society.
  6. 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.
  7. 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.
  8. 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.
  9. John Simon, 1996. "A Markov-switching Model of Inflation in Australia," RBA Research Discussion Papers rdp9611, Reserve Bank of Australia.
  10. 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.
  11. 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.
  12. Altman, Edward I, 1971. "Railroad Bankruptcy Propensity," Journal of Finance, American Finance Association, vol. 26(2), pages 333-45, May.
  13. 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.
  14. 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.
  15. Charles Goodhart, 2008. "The Regulatory Response to the Financial Crisis," FMG Special Papers sp177, Financial Markets Group.
  16. Inoue, Atsushi & Rossi, Barbara, 2005. "Monitoring and Forecasting Currency Crises," Working Papers 05-02, Duke University, Department of Economics.
  17. Graciela L. Kaminsky, 1998. "Currency and banking crises: the early warnings of distress," International Finance Discussion Papers 629, Board of Governors of the Federal Reserve System (U.S.).
  18. Reinhart, Carmen & Kaminsky, Graciela, 1999. "The twin crises: The causes of banking and balance of payments problems," MPRA Paper 14081, University Library of Munich, Germany.
  19. Carmen M. Reinhart, 2002. "Default, Currency Crises, and Sovereign Credit Ratings," World Bank Economic Review, World Bank Group, vol. 16(2), pages 151-170, August.
  20. William R Folks & Stanley R Stansell, 1975. "The Use of Discriminant Analysis in Forecasting Exchange Rate Movements," Journal of International Business Studies, Palgrave Macmillan, vol. 6(1), pages 33-50, March.
  21. Nii Ayi Armah & Norman Swanson, 2011. "Some variables are more worthy than others: new diffusion index evidence on the monitoring of key economic indicators," Applied Financial Economics, Taylor & Francis Journals, vol. 21(1-2), pages 43-60.
  22. Andrew K. Rose & Mark M. Spiegel, 2009. "Cross-country causes and consequences of the 2008 crisis: early warning," Working Paper Series 2009-17, Federal Reserve Bank of San Francisco.
  23. 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, vol. 21(1), pages 95-117, March.
  24. 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.
  25. Graciela Laura Kaminsky, 1997. "Leading Indicators of Currency Crises," IMF Working Papers 97/79, International Monetary Fund.
  26. Leni Hunter, 2008. "The relationship between monetary and financial stability," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 71, June.
  27. Marc Klau & John Hawkins, 2000. "Measuring potential vulnerabilities in emerging market economies," BIS Working Papers 91, Bank for International Settlements.
  28. 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.
  29. 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.
  30. 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.
  31. John B Morgan, 1986. "A New Look at Debt Rescheduling Indicators and Models," Journal of International Business Studies, Palgrave Macmillan, vol. 17(2), pages 37-54, June.
  32. Briance Mascarenhas & Ole Christian Sand, 1989. "Combination of Forecasts in the International Context: Predicting Debt Reschedulings," Journal of International Business Studies, Palgrave Macmillan, vol. 20(3), pages 539-552, September.
  33. 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.
  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. Daley, J & Matthews, Kent & Whitfield, Keith, 2006. "Too-Big-To-Fail: Bank Failure and Banking Policy in Jamaica," Cardiff Economics Working Papers E2006/4, Cardiff University, Cardiff Business School, Economics Section.
  36. 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.
  37. 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.
  38. 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.
  39. Michael C. Jensen, 2010. "The Modern Industrial Revolution, Exit, and the Failure of Internal Control Systems," Journal of Applied Corporate Finance, Morgan Stanley, vol. 22(1), pages 43-58.
  40. 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.
  41. 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.
  42. repec:eid:wpaper:16/09 is not listed on IDEAS
  43. Kent Osband & Caroline Van Rijckeghem, 2000. "Safety from Currency Crashes," IMF Staff Papers, Palgrave Macmillan, vol. 47(2), pages 4.
  44. Sumit Sarkar & Ram S. Sriram, 2001. "Bayesian Models for Early Warning of Bank Failures," Management Science, INFORMS, vol. 47(11), pages 1457-1475, November.
  45. 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.
  46. 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 305-22, July.
  47. 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.
  48. 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. 0, pages 381-402, November.
  49. Kimmo Soramaki & Morten L. Bech & Jeffrey Arnold & Robert J. Glass & Walter Beyeler, 2006. "The topology of interbank payment flows," Staff Reports 243, Federal Reserve Bank of New York.
  50. Catherine A. Pattillo & Andrew Berg, 1998. "Are Currency Crises Predictable? a Test," IMF Working Papers 98/154, International Monetary Fund.
  51. Dueker, Michael & Neely, Christopher J., 2007. "Can Markov switching models predict excess foreign exchange returns?," Journal of Banking & Finance, Elsevier, vol. 31(2), pages 279-296, February.
  52. 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.
  53. 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.
  54. 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.
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