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Un modelo de predicción de crisis financieras en los mercados emergentes: 1970 – 2009
[A Prediction Model of Financial Crises in Emerging Markets: 1970 - 2009]

Author

Listed:
  • Ayala, Alfonso

Abstract

In this paper we describe one of the most important models on financial crisis prediction in emerging markets; we also present the results of the test of this model of “thresholds” using monthly data from 1970 to first quarter of 2009. The suggested model has been based on the signal approach of Kaminsky, Lizondo and Reinhart (1998). We obtain an identification of the main determinant factors of financial crisis (in the empiric sense of the present work) understood as an approximation to the probability of crisis in the short term.

Suggested Citation

  • Ayala, Alfonso, 2011. "Un modelo de predicción de crisis financieras en los mercados emergentes: 1970 – 2009 [A Prediction Model of Financial Crises in Emerging Markets: 1970 - 2009]," MPRA Paper 42403, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:42403
    as

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    References listed on IDEAS

    as
    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 1-5.
    2. Alfredo Pistelli, 2007. "Speculative currency attacks: role of inconsistent macroeconomic policies and real exchange rate overvaluation," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 22(2), pages 3-27, December.
    3. Hali J. Edison, 2003. "Do indicators of financial crises work? An evaluation of an early warning system," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 8(1), pages 11-53.
    4. Andrew Berg & Catherine Pattillo, 1999. "Are Currency Crises Predictable? A Test," IMF Staff Papers, Palgrave Macmillan, vol. 46(2), pages 1-1.
    5. Graciela Kaminsky & Saul Lizondo & Carmen M. Reinhart, 1998. "Leading Indicators of Currency Crises," IMF Staff Papers, Palgrave Macmillan, vol. 45(1), pages 1-48, March.
    6. Flood, Robert & Marion, Nancy, 1999. "Perspectives on the Recent Currency Crisis Literature," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 4(1), pages 1-26, January.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Crisis financieras; mercados emergentes; modelos de predicción; modelos de alerta temprana;
    All these keywords.

    JEL classification:

    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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