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

Irène Andreou, Gilles Dufrénot (), Alain Sand-Zantman () and Aleksandra Zdzienicka ()
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Irène Andreou: GATE - Groupe d'analyse et de théorie économique - UL2 - Université Lumière - Lyon 2 - ENS LSH - Ecole Normale Supérieure Lettres et Sciences Humaines - CNRS - Centre National de la Recherche Scientifique
Alain Sand-Zantman: GATE - Groupe d'analyse et de théorie économique - UL2 - Université Lumière - Lyon 2 - ENS LSH - Ecole Normale Supérieure Lettres et Sciences Humaines - CNRS - Centre National de la Recherche Scientifique

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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: Currency Crisis; Early Warning System; Composite Indicator; Eastern Europe (search for similar items in EconPapers)
Date: 2009
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00372728
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Citations: View citations in EconPapers (3)

Published in Journal of Economic Integration, 2009, 24 (1), pp. 87-115. ⟨10.11130/jei.2009.24.1.87⟩

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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 (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:hal:journl:halshs-00372728

DOI: 10.11130/jei.2009.24.1.87

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