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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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  3. Andrew Berg & Catherine Pattillo, 1999. "Are Currency Crises Predictable? A Test," IMF Staff Papers, Palgrave Macmillan, vol. 46(2), pages 1.
  4. 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. 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.
  6. 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.
  7. 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.
  8. Reinhart, Carmen & Kaminsky, Graciela & Lizondo, Saul, 1998. "Leading Indicators of Currency Crises," MPRA Paper 6981, University Library of Munich, Germany.
  9. 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.
  10. 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.).
  11. Bussiere, Matthieu & Fratzscher, Marcel, 2006. "Towards a new early warning system of financial crises," Journal of International Money and Finance, Elsevier, vol. 25(6), pages 953-973, October.
  12. 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.
  13. 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.
  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. 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.
  16. 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.
  17. 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.
  18. V. V. Chari & Patrick J. Kehoe, 2003. "Hot Money," Levine's Bibliography 506439000000000415, UCLA Department of Economics.
  19. 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.
  20. Reinhart, Carmen, 2002. "Default, currency crises, and sovereign credit ratings," MPRA Paper 13917, University Library of Munich, Germany.
  21. Gelos, Gaston & Wei, Shang-Jin, 2004. "Transparency and International Portfolio Holdings," CEPR Discussion Papers 4476, C.E.P.R. Discussion Papers.
  22. 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.
  23. 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.
  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. 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.
  26. 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.
  27. 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.
  28. 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.
  29. John Simon, 1996. "A Markov-switching Model of Inflation in Australia," RBA Research Discussion Papers rdp9611, Reserve Bank of Australia.
  30. 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 0650005-1-0.
  31. 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.
  32. 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.
  33. 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.
  34. 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.
  35. 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.
  36. 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.
  37. 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.
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  39. 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.
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  45. Marc Klau & John Hawkins, 2000. "Measuring potential vulnerabilities in emerging market economies," BIS Working Papers 91, Bank for International Settlements.
  46. 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.
  47. 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.
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  49. Sumit Sarkar & Ram S. Sriram, 2001. "Bayesian Models for Early Warning of Bank Failures," Management Science, INFORMS, vol. 47(11), pages 1457-1475, November.
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  52. 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.
  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. 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.
  55. repec:nsr:niesrd:330 is not listed on IDEAS
  56. 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.
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