A Parametric EWS Model of Currency Crises for East Asia

Younghoon Koo, Chang Seok Oh, Hyunsoo Joo, Seungjae Lee and Jose Antonio Tan

from Palgrave Macmillan

Abstract: Abstract A parametric early warning system (EWS) model attempts to estimate the probability of a financial crisis by using discrete choice econometric methods, which usually take either a probit or logit approach. Earlier studies on parametric EWS models were mostly based on annual data (see, for example, Frankel and Rose 1996). Such models could be useful in identifying causes of financial crises, but may not be suitable for real-time forecasting of crisis probabilities due to their low frequency. More recently, however, there have been heightened efforts to develop parametric EWS models using monthly data aimed at real-time forecasting. A notable example is the Developing Country Studies Division (DCSD) model of currency crises developed and being used by the International Monetary Fund (IMF).1

Keywords: International Monetary Fund; Real Exchange Rate; Representative Model; Currency Crisis; Current Account Balance (search for similar items in EconPapers)
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-0-230-50106-5_5

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DOI: 10.1057/9780230501065_5

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