EconPapers    
Economics at your fingertips  
 

Early Warning Systems for Currency Crises with Real-Time Data

Tjeerd Boonman, Jan Jacobs (), Gerard Kuper () and Alberto Romero ()
Additional contact information
Alberto Romero: Banco de México

Open Economies Review, 2019, vol. 30, issue 4, 813-835

Abstract: Abstract This paper investigates the performance of early warning systems for currency crises in real-time, using forecasts of indicators that are available at the moment predictions are to be made. We investigate two types of commonly used early warning systems for currency crises: the signal approach and the logit model. We apply each EWS to a panel of fifteen emerging economies, distinguishing an estimation period 1991Q1–2010Q4 and a prediction period 2011Q1–2017Q4. We find that using indicator forecasts in the predictions worsens the ability of early warning systems to signal crises compared to the most recently available information.

Keywords: Real time data; Early warning system; Currency crises; Signal approach; Logit model; Emerging economies (search for similar items in EconPapers)
JEL-codes: F31 E47 G01 C23 E58 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://link.springer.com/10.1007/s11079-019-09530-0 Abstract (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Early Warning Systems for Currency Crises with Real-Time Data (2017) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:openec:v:30:y:2019:i:4:d:10.1007_s11079-019-09530-0

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/11079/PS2

Access Statistics for this article

Open Economies Review is currently edited by G.S. Tavlas

More articles in Open Economies Review from Springer
Bibliographic data for series maintained by Sonal Shukla ().

 
Page updated 2020-01-17
Handle: RePEc:kap:openec:v:30:y:2019:i:4:d:10.1007_s11079-019-09530-0