Anticipating Arrears to the IMF Early Warning Systems

Chikako Oka

No 2003/018, IMF Working Papers from International Monetary Fund

Abstract: This paper attempts to predict the incidence of arrears to the International Monetary Fund (IMF) by modifying and applying two of the major early warning systems for currency crises: the "signals" approach proposed by Kaminsky, Lizondo, and Reinhart (1997) and the probit-based alternative developed by Berg and Pattillo (1998). The results, based on both in-sample and out-of-sample tests, appear encouraging. While the unique nature of IMF arrears poses some challenges, the models could be useful tools for identifying countries at high risk of incurring arrears to the IMF.

Keywords: WP; IMF arrears; Arrears to the IMF; function method; arrears period; IMF debt; Arrears; credit risk; default; early warning; IMF relative; arrears case; Early warning systems; Probit models; Debt service (search for similar items in EconPapers)
Pages: 35
Date: 2003-01-01
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Citations: View citations in EconPapers (10)

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