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Early warning systems for currency crises with real-time data

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Boonman, TM, Jacobs, JPAM, Kuper, GH and Romero, A 2019 , 'Early warning systems for currency crises with real-time data' , Open Economies Review , pp. 1-23 , doi: 10.1007/s11079-019-09530-0.

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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 1991Q1–2010Q4 and a prediction period 2011Q1–2017Q4. 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 Type: Article
Authors/Creators:Boonman, TM and Jacobs, JPAM and Kuper, GH and Romero, A
Keywords: currency crisis, early warning system, emerging economies, logit model, real time data, signal approach
Journal or Publication Title: Open Economies Review
Publisher: Springer New York LLC
ISSN: 0923-7992
DOI / ID Number: 10.1007/s11079-019-09530-0
Copyright Information:

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

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