An Optimal Early Warning System for Currency Crises Under Model Uncertainty

This paper assesses several early warning (EWS) models of financial crises to propose a model that can predict the incidence of a currency crisis in developing countries. For this purpose, we employ the equal weighting (EW) and dynamic model averaging (DMA) approaches to combine forecast from individual models allowing for time-varying weights. Taking Egypt as a case study and focusing only on currency crises, our findings show that combined forecast (EW- and DMA-based EWS) to account for uncertainty perform better than other competing models in both in-sample and out-of-sample forecasts

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Year of publication:	2020
Authors:	Mohamed, Mamdouh
Other Persons:	Abdel-Latif, Hany (contributor)
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Frühwarnsystem \| Early warning system \| Währungskrise \| Currency crisis \| Theorie \| Theory \| Schwellenländer \| Emerging economies \| Risiko \| Risk

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