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Early Warning Systems for Currency Crises with Real-Time Data

Tjeerd Boonman, Jan Jacobs (), Gerard Kuper () and Alberto Romero

CIRANO Working Papers from CIRANO

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 focus on eight Latin American and Central and Eastern European countries, distinguishing an estimation period 1990{2009 and a prediction period 2010{2014. We apply two varieties of early warning systems: the signal approach and the logit model. For bothmethods we nd that using early estimates in the predictions worsens the ability of early warning systems to signal crises compared to the most recently available information.

JEL-codes: F31 E47 G01 C23 E58 (search for similar items in EconPapers)
Date: 2017-10-30
New Economics Papers: this item is included in nep-mac and nep-mon
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Journal Article: Early Warning Systems for Currency Crises with Real-Time Data (2019) Downloads
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Handle: RePEc:cir:cirwor:2017s-18