134065 - Early warning systems for currency crises with real-time data.pdf (352.85 kB)
Early warning systems for currency crises with real-time data
journal contributionposted on 2023-05-20, 05:48 authored by Boonman, TM, Jacobs, JPAM, Kuper, GH, Romero, A
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.
Publication titleOpen Economies Review
PublisherSpringer New York LLC
Place of publicationUnited States
Rights statementCopyright 2019 The Authors. Licensed under Creative Commons Attribution 4.0 International (CC BY 4.0) https://creativecommons.org/licenses/by/4.0/