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Assessing Early Warning Systems; How Have they Worked in Practice?

Since 1999, the IMF's staff has been tracking several early-warning-system (EWS) models of currency crisis. The results have been mixed. One of the long-horizon models has performed well relative to pure guesswork and to available non-model-based forecasts, such as agency ratings and private analysts' currency crisis risk scores. The data do not speak clearly on the other long-horizon EWS model. The two short-horizon private sector models generally performed poorly.
Year of publication:
2004-03-01
Authors: Berg, Andrew ; Borensztein, Eduardo ; Pattillo, Catherine A.
Institutions: International Monetary Fund (IMF)
Subject: Economic indicators | Economic forecasting | Forecasting models | probability | currency crises | predictions | currency crisis | probabilities | prediction | pre-crisis | contagion | forecasting | crisis countries | standard errors | goodness of fit | crisis probabilities | crisis probability | asian crisis | surveys | early warning system | early warning systems | statistical tests | speculative attacks | models of currency crisis | correlation | exchange rate crisis | payments crisis | standard error | statistical significance | rating agencies | banking crisis | banking crises | probability model | estimation period | crisis episodes | balance of payments crisis | currency depreciation | samples | crisis country | crisis in emerging markets | nonlinear model | financial crisis | standard deviations | credit booms | statistical method | debt crisis | computation | financial crises | corporate sector | survey | mexican peso crisis | recession | econometrics | equation | autocorrelation | crisis index | number of variables | probability value | correlations | discriminant analysis | type 1 errors | parsimonious model | type 2 errors
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Language: English
Notes:
The text is part of a series IMF Working Papers Number 04/52 4 pages long
Source:
Persistent link: https://www.econbiz.de/10005768990
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