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Early warning systems for currency crises with real-time data

Citation

Boonman, TM and Jacobs, JPAM and Kuper, GH and Romero, A, Early warning systems for currency crises with real-time data, Open Economies Review pp. 1-23. ISSN 0923-7992 (2019) [Refereed Article]


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Copyright Statement

Copyright 2019 The Authors. Licensed under Creative Commons Attribution 4.0 International (CC BY 4.0) https://creativecommons.org/licenses/by/4.0/

DOI: doi:10.1007/s11079-019-09530-0

Abstract

This paper investigates the performance of early warning systems for currency crises in real-time, using forecasts of indicators that are available at the moment predictions are to be made. We investigate two types of commonly used early warning systems for currency crises: the signal approach and the logit model. We apply each EWS to a panel of fifteen emerging economies, distinguishing an estimation period 1991Q12010Q4 and a prediction period 2011Q12017Q4. We find that using indicator forecasts in the predictions worsens the ability of early warning systems to signal crises compared to the most recently available information.

Item Details

Item Type:Refereed Article
Keywords:currency crisis, early warning system, emerging economies, logit model, real time data, signal approach
Research Division:Economics
Research Group:Econometrics
Research Field:Economic Models and Forecasting
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Economic Growth
UTAS Author:Jacobs, JPAM (Dr Jan Jacobs)
ID Code:134065
Year Published:2019
Deposited By:Economics and Finance
Deposited On:2019-07-24
Last Modified:2020-01-10
Downloads:6 View Download Statistics

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