A forewarning indicator system for financial crises: the case of six Central and Eastern European countries

Irene Andreou (), Gilles Dufrénot (), Alain Sand () and Aleksandra Zdzienicka ()
Additional contact information
Irene Andreou: GATE CNRS
Alain Sand: GATE CNRS

No 709, Working Papers from Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon

Abstract: We propose a measure of the probability of crises associated with an aggregate indicator, where the percentage of false alarms and the proportion of missed signals can be combined to give an appreciation of the vulnerability of an economy. In this perspective, the important issue is not only to determine whether a system produces true predictions of a crisis, but also whether there are forewarning signs of a forthcoming crisis prior to its actual occurrence. To this end, we adopt the approach initiated by Kaminsky, Lizondo and Reinhart (1998), analyzing each indicator and calculating each threshold separately. We depart from this approach in that each country is also analyzed separately, permitting the creation of a more “custom-made” early warning system for each one.

Keywords: composite indicator; currency crisis; early warning system (search for similar items in EconPapers)
JEL-codes: F31 F47 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2007-04
New Economics Papers: this item is included in nep-cba, nep-eec, nep-his, nep-ifn and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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ftp://ftp.gate.cnrs.fr/RePEc/2007/0709.pdf (application/pdf)

Related works:
Journal Article: A Forewarning Indicator System for Financial Crises: the Case of Six Central and Eastern European Countries (2009)
Working Paper: A forewarning indicator system for financial crises: the case of six Central and Eastern European countries (2009)
Working Paper: A forewarning indicator system for financial crises: the case of six central and eastern european countries (2007)
Working Paper: A forewarning indicator system for financial crises: the case of six Central and Eastern European countries (2007)
Working Paper: A FOREWARNING INDICATOR SYSTEM FOR FINANCIAL CRISES: THE CASE OF SIX CENTRAL AND EASTERN EUROPEAN COUNTRIES (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:gat:wpaper:0709

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