Assessing Early Warning Systems: How Have They Worked in Practice?

Eduardo Borensztein, Catherine A. Pattillo and Andrew Gouinlock Berg ()

No 04/52, IMF Working Papers from International Monetary Fund

Abstract: Since 1999, the IMF's staff has been tracking several early-warning-system (EWS) models of currency crisis. The results have been mixed. One of the long-horizon models has performed well relative to pure guesswork and to available non-model-based forecasts, such as agency ratings and private analysts' currency crisis risk scores. The data do not speak clearly on the other long-horizon EWS model. The two short-horizon private sector models generally performed poorly.

Keywords: Crisis prevention; Currencies; Economic indicators; Economic forecasting; Forecasting models; Balance of payments need (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin and nep-for
Date: 2004-04-09
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Journal Article: Assessing Early Warning Systems: How Have They Worked in Practice? (2005)
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