An alternative method to measure the likelihood of a financial crisis in an emerging market

Umit Ozlale and Kıvılcım Metin-Özcan
Authors registered in the RePEc Author Service: Kivilcim Metin Özcan

Physica A: Statistical Mechanics and its Applications, 2007, vol. 381, issue C, 329-337

Abstract: This paper utilizes an early warning system in order to measure the likelihood of a financial crisis in an emerging market economy. We introduce a methodology, where we can both obtain a likelihood series and analyze the time-varying effects of several macroeconomic variables on this likelihood. Since the issue is analyzed in a non-linear state space framework, the extended Kalman filter emerges as the optimal estimation algorithm.

Keywords: Extended Kalman filter; Financial crises; Emerging markets (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:381:y:2007:i:c:p:329-337

DOI: 10.1016/j.physa.2007.03.031

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