A Study on KLR Financial Crisis Early-Warning Model

Jianping Shi () and Yu Gao ()
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Jianping Shi: School of Finance, Central University of Finance and Economics, Beijing 100081, China
Yu Gao: School of Finance, Central University of Finance and Economics, Beijing 100081, China

Frontiers of Economics in China-Selected Publications from Chinese Universities, 2010, vol. 5, issue 2, 254-275

Abstract: The financial crisis early-warning models were improved gradually with the continued regional financial crises that provided a wealth of empirical data by the end of last century. However, none of the crisis early-warning models correctly predicted the global financial crisis in 2008. Previous researches show the KLR model have better performance, so we reviewed the crisis early-warning system based on the KLR model using the recently data. This paper first tested the KLR model, and made some amendments based on the actual economic environment. Then we re-test the modified model, which show an improved performance. At last, the future crisis probabilities of some selected countries are predicted by using the amendatory model.

Keywords: KLR model; emerging market; financial crisis; early-warning system (search for similar items in EconPapers)
JEL-codes: G21 G32 G33 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (5)

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