Early Warning Systems for Currency Crises with Real-Time Data

Tjeerd Boonman, Jan Jacobs, Gerard Kuper and Alberto Romero ()
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Alberto Romero: Banco de México

Open Economies Review, 2019, vol. 30, issue 4, No 9, 813-835

Abstract: 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.

Keywords: Real time data; Early warning system; Currency crises; Signal approach; Logit model; Emerging economies (search for similar items in EconPapers)
JEL-codes: C23 E47 E58 F31 G01 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (4)

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Working Paper: Early Warning Systems for Currency Crises with Real-Time Data (2017)
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DOI: 10.1007/s11079-019-09530-0

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