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How to evaluate an early warning system? Towards a united statistical framework for assessing financial crises forecasting methods

Citations

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Cited by:

  1. Sarlin, Peter, 2013. "On policymakers’ loss functions and the evaluation of early warning systems," Economics Letters, Elsevier, vol. 119(1), pages 1-7.
  2. Ahmed, Jameel & Straetmans, Stefan, 2015. "Predicting exchange rate cycles utilizing risk factors," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 112-130.
  3. Archana KULKARNI & Bandi KAMAIAH, 2015. "Predicting balance of payments crises for some emerging economies," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(1(602), S), pages 15-34, Spring.
  4. Lang, Jan Hannes & Peltonen, Tuomas A. & Sarlin, Peter, 2018. "A framework for early-warning modeling with an application to banks," Working Paper Series 2182, European Central Bank.
  5. Honda, Jiro & Tapsoba, René & Issifou, Ismael, 2022. "When do we repair the roof? Insights from responses to fiscal crisis early warning signals," International Economics, Elsevier, vol. 172(C), pages 349-367.
  6. Bespalova, Olga, 2018. "Forecast Evaluation in Macroeconomics and International Finance. Ph.D. thesis, George Washington University, Washington, DC, USA," MPRA Paper 117706, University Library of Munich, Germany.
  7. Mohammad Karimi & Marcel‐Cristian Voia, 2019. "Empirics of currency crises: A duration analysis approach," Review of Financial Economics, John Wiley & Sons, vol. 37(3), pages 428-449, July.
  8. Aitor Erce & Xu Jiang & Diana Zigraiova, 2020. "Quantifying Risks to Sovereign Market Access: Methods and Challenges," Globalization Institute Working Papers 377, Federal Reserve Bank of Dallas.
  9. Marie Bessec, 2019. "Revisiting the transitional dynamics of business cycle phases with mixed-frequency data," Econometric Reviews, Taylor & Francis Journals, vol. 38(7), pages 711-732, August.
  10. Antunes, António & Bonfim, Diana & Monteiro, Nuno & Rodrigues, Paulo M.M., 2018. "Forecasting banking crises with dynamic panel probit models," International Journal of Forecasting, Elsevier, vol. 34(2), pages 249-275.
  11. Adrian Pagan & Don Harding, 2011. "Econometric Analysis and Prediction of Recurrent Events," NCER Working Paper Series 75, National Centre for Econometric Research.
  12. Wang, Peiwan & Zong, Lu, 2023. "Does machine learning help private sectors to alarm crises? Evidence from China’s currency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 611(C).
  13. Dieckelmann, Daniel, 2020. "Cross-border lending and the international transmission of banking crises," Discussion Papers 2020/13, Free University Berlin, School of Business & Economics.
  14. Anthony D. Hall & Adrian R. Pagan, 2025. "Investigating Some Issues Relating to Regime Matching," Econometrics, MDPI, vol. 13(1), pages 1-13, February.
  15. Maria Siranova & Marek Radvanský, 2018. "Performance of the Macroeconomic Imbalance Procedure in light of historical experience in the CEE region," Journal of Economic Policy Reform, Taylor & Francis Journals, vol. 21(4), pages 335-352, October.
  16. Diana Zigraiova & Aitor Erce, 2025. "Quantifying Risks to Sovereign Market Access," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 73(4), pages 1302-1364, December.
  17. Tomáš, Domonkos & Filip, Ostrihoň & Ivana, Šikulová & Mária, Širaňová, 2017. "Analysing the Relevance of the MIP Scoreboard's Indicators," National Institute Economic Review, National Institute of Economic and Social Research, vol. 239, pages 32-52, February.
  18. Sondermann, David & Zorell, Nico, 2019. "A macroeconomic vulnerability model for the euro area," Working Paper Series 2306, European Central Bank.
  19. GENEVOIS Anne-Sophie & LIEGEOIS Philippe & PI ALPERIN Maria Noel, 2019. "DyMH_LU: a simple tool for modelling and simulating the health status of the Luxembourgish elderly in the longer run," LISER Working Paper Series 2019-06, Luxembourg Institute of Socio-Economic Research (LISER).
  20. Jean-Baptiste Hasse, 2020. "Systemic Risk: a Network Approach," Working Papers halshs-02893780, HAL.
  21. Mr. Fabio Comelli, 2012. "Emerging Market Sovereign Bond Spreads: Estimation and Back-testing," IMF Working Papers 2012/212, International Monetary Fund.
  22. Jon Danielsson & Marcela Valenzuela & Ilknur Zer, 2018. "Learning from History: Volatility and Financial Crises," The Review of Financial Studies, Society for Financial Studies, vol. 31(7), pages 2774-2805.
  23. Candelon, Bertrand & Dumitrescu, Elena-Ivona & Hurlin, Christophe, 2014. "Currency crisis early warning systems: Why they should be dynamic," International Journal of Forecasting, Elsevier, vol. 30(4), pages 1016-1029.
  24. repec:upd:utppwp:043 is not listed on IDEAS
  25. Hasse, Jean-Baptiste & Lecourt, Christelle & Siagh, Souhila, 2024. "Setting up a sovereign wealth fund to reduce currency crises," Emerging Markets Review, Elsevier, vol. 62(C).
  26. Qin, Xiao & Liu, Liya, 2014. "Extremes, return level and identification of currency crises," Economic Modelling, Elsevier, vol. 37(C), pages 439-450.
  27. Ari, Ali, 2012. "Early warning systems for currency crises: The Turkish case," Economic Systems, Elsevier, vol. 36(3), pages 391-410.
  28. Ryota Nakatani, 2017. "The Effects of Productivity Shocks, Financial Shocks, and Monetary Policy on Exchange Rates: An Application of the Currency Crisis Model and Implications for Emerging Market Crises," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 53(11), pages 2545-2561, November.
  29. Gaston Giordana & Michael Ziegelmeyer, 2024. "Using household-level data to guide borrower-based macro-prudential policy," Empirical Economics, Springer, vol. 66(2), pages 785-827, February.
  30. Hasse, Jean-Baptiste & Lajaunie, Quentin, 2022. "Does the yield curve signal recessions? New evidence from an international panel data analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 9-22.
  31. Tihana Skrinjaric, 2023. "Leading indicators of financial stress in Croatia: a regime switching approach," Public Sector Economics, Institute of Public Finance, vol. 47(2), pages 205-232.
  32. Bespalova, Olga, 2015. "The Good, the Bad, and the Ugly…signals of currency crises: Does signal approach work in ex-ante forecasting of currency crises?," MPRA Paper 117863, University Library of Munich, Germany, revised 15 Jul 2017.
  33. Belkhir, Mohamed & Naceur, Sami Ben & Candelon, Bertrand & Wijnandts, Jean-Charles, 2022. "Macroprudential policies, economic growth and banking crises," Emerging Markets Review, Elsevier, vol. 53(C).
  34. Emmanuel Flachaire & Gilles Hacheme & Sullivan Hu'e & S'ebastien Laurent, 2022. "GAM(L)A: An econometric model for interpretable Machine Learning," Papers 2203.11691, arXiv.org.
  35. Ali Ari & Raif Cergibozan, 2016. "A Comparison of Currency Crisis Dating Methods: Turkey 1990-2014," Montenegrin Journal of Economics, Economic Laboratory for Transition Research (ELIT), vol. 12(3), pages 19-37.
  36. Correia, Ricardo & Dubiel-Teleszynski, Tomasz & Población, Javier, 2019. "Anticipating individual bank rescues," Economic Modelling, Elsevier, vol. 82(C), pages 345-360.
  37. Jean-Baptiste Hasse & Quentin Lajaunie, 2020. "Does the Yield Curve Signal Recessions? New Evidence from an International Panel Data Analysis," AMSE Working Papers 2013, Aix-Marseille School of Economics, France.
  38. Mr. Fabio Comelli, 2014. "Comparing the Performance of Logit and Probit Early Warning Systems for Currency Crises in Emerging Market Economies," IMF Working Papers 2014/065, International Monetary Fund.
  39. Xavier De Scheemaekere & Kim Oosterlinck & Ariane Szafarz, 2014. "Issues in Identifying Economic Crises: Insights from History," Working Papers CEB 14-014, ULB -- Universite Libre de Bruxelles.
  40. Dumitrescu, Elena & Hué, Sullivan & Hurlin, Christophe & Tokpavi, Sessi, 2022. "Machine learning for credit scoring: Improving logistic regression with non-linear decision-tree effects," European Journal of Operational Research, Elsevier, vol. 297(3), pages 1178-1192.
  41. Gastón Giordana, 2025. "Assessing consumer CBDC adoption in Luxembourg: A micro-simulation approach," BCL working papers 193, Central Bank of Luxembourg.
  42. Krzysztof Biegun & Jacek Karwowski & Piotr Luty, 2021. "How Effective is Macroeconomic Imbalance Procedure (MIP) in Predicting Negative Macroeconomic Phenomena?," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 2), pages 822-837.
  43. Dalila Boughaci & Abdullah A. K. Alkhawaldeh & Jamil J. Jaber & Nawaf Hamadneh, 2021. "Classification with segmentation for credit scoring and bankruptcy prediction," Empirical Economics, Springer, vol. 61(3), pages 1281-1309, September.
  44. Ons Jedidi & Jean-Sébastien Pentecôte, 2015. "Prédire les crises bancaires : un système d’alerte robuste," Revue française d'économie, Presses de Sciences-Po, vol. 0(3), pages 189-225.
  45. Rakesh Padhan & K. P. Prabheesh, 2019. "Effectiveness of Early Warning Models: A Critical Review and New Agenda for Future Direction," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 22(4), pages 457-484, December.
  46. Jean-Baptiste Hasse, 2022. "Systemic risk: a network approach," Empirical Economics, Springer, vol. 63(1), pages 313-344, July.
  47. Carsten Detken & Olaf Weeken & Lucia Alessi & Diana Bonfim & Miguel M. Boucinha & Christian Castro & Sebastian Frontczak & Gaston Giordana & Julia Giese & Nadya Jahn & Jan Kakes & Benjamin Klaus & Jan, 2014. "Operationalising the countercyclical capital buffer: indicator selection, threshold identification and calibration options," ESRB Occasional Paper Series 05, European Systemic Risk Board.
  48. Li, Haixi, 2012. "An Optimal Design of Early Warning Systems: A Bayesian Quickest Change Detection Approach," MPRA Paper 37302, University Library of Munich, Germany.
  49. Tihana Škrinjarić, 2023. "Credit-to-GDP Gap Estimates in Real Time: A Stable Indicator for Macroprudential Policy Making in Croatia," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 65(3), pages 582-614, September.
  50. Pablo Hernández de Cos & Enrique Moral-Benito & Gerrit B. Koester & Christiane Nickel, 2014. "Signalling fiscal stress in the euro area: A country-specific early warning system," Working Papers 1418, Banco de España.
  51. Nihat Tak & Adem Gök, 2022. "Dating currency crises and designing early warning systems: Meta‐possibilistic fuzzy index functions," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3773-3790, July.
  52. Mr. Fabio Comelli, 2013. "Comparing Parametric and Non-parametric Early Warning Systems for Currency Crises in Emerging Market Economies," IMF Working Papers 2013/134, International Monetary Fund.
  53. Tomáš Domonkos & Filip Ostrihoň & Ivana Šikulová & Maria Širaňová, 2016. "Analyzing macroeconomic imbalances in the EU," EcoMod2016 9660, EcoMod.
  54. repec:agr:journl:v:1(602):y:2015:i:1(602):p:15-34 is not listed on IDEAS
  55. Yanping Zhao & Jakob Haan & Bert Scholtens & Haizhen Yang, 2014. "Leading Indicators of Currency Crises: Are They the Same in Different Exchange Rate Regimes?," Open Economies Review, Springer, vol. 25(5), pages 937-957, November.
  56. Lorenzo Danieli & Petr Jakubik, 2022. "Early Warning System for the European Insurance Sector," Journal of Economics / Ekonomicky casopis, Institute of Economic Research, Slovak Academy of Sciences, vol. 70(1), pages 3-21, January.
  57. Geršl, Adam & Jašová, Martina, 2018. "Credit-based early warning indicators of banking crises in emerging markets," Economic Systems, Elsevier, vol. 42(1), pages 18-31.
  58. Janus, Thorsten & Riera-Crichton, Daniel, 2013. "International gross capital flows: New uses of balance of payments data and application to financial crises," Journal of Policy Modeling, Elsevier, vol. 35(1), pages 16-28.
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