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-Durand
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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
Aleksandra Zdzienicka-Durand: 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: composite indicator; currency crisis; early warning system; crise de change; indicateur composé; système d'alarme précoce (search for similar items in EconPapers)
Date: 2007-04
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00142433
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Citations: View citations in EconPapers (5)

Published in 2007

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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 (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)
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