Early warning indicators of asset price boom/bust cycles in emerging markets

Alexey Ponomarenko

Emerging Markets Review, 2013, vol. 15, issue C, 92-106

Abstract: We apply recently developed early warning indicator systems to a cross-section of emerging markets. We find that, with little or no modification, models designed to predict asset price booms/busts in advanced countries may be useful for emerging markets. The concept of monitoring a set of asset prices, real activity and financial indicators is generally found to be efficacious. We also find that, in addition to this set of variables, early warning indicator systems for emerging countries may be augmented with capital flow indicators.

Keywords: Early warning indicators; Asset prices; Emerging markets (search for similar items in EconPapers)
JEL-codes: E37 E44 E51 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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Working Paper: Early warning indicators of asset price boom/bust cycles in emerging markets (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:15:y:2013:i:c:p:92-106

DOI: 10.1016/j.ememar.2013.02.006

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