Robust Lessons about Practical Early Warning Systems

Early warning systems (EWSs) are subject to restrictions that apply to exchangerates in general: fundamentals matter but their influence is small and unstable. Despitethis limitation four major lessons emerge: First, EWSs have robust forecastingpower and thus help policy-makers to prevent crises. Second, policy-makers mustdecide about some EWSs' elements, such as the sensitivity of the forecasts.[...]

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Authors:	Beckmann, Daniela ; Menkhoff, Lukas ; Sawischlewski, Katja
Institutions:	Universität <Hannover> / Wirtschaftswissenschaftliche Fakultät
Subject:	Wechselkurs \| Finanzkrise \| Banking Crisis

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1 Introduction
2 KLR-extensions over time and countries
2.1 Reproducing the KLR approach
2.2 Extending KLR over time
2.3 Expanding KLR over countries
2.4 Forecasting out-of-sample
3 From composite indicators to logit models
3.1 Two logit model alternatives
3.2 The multinomial logit
4 The impact of different crisis definitions
5 Further lessons for improving forecasts
5.1 Regional sample splits
5.2 Shortening the sample
5.3 Grasping contagion
6 Conclusions
6.1 Elements of practical early warning systems
6.2 Policy discussion
References

Persistent link: https://www.econbiz.de/10005867584