Assessing Early Warning Systems: How Have they Worked in Practice?

Andrew Berg (), Eduardo Borensztein and Catherine Pattillo

No 2004/052, IMF Working Papers from International Monetary Fund

Abstract: Since 1999, the IMF's staff has been tracking several early-warning-system (EWS) models of currency crisis. The results have been mixed. One of the long-horizon models has performed well relative to pure guesswork and to available non-model-based forecasts, such as agency ratings and private analysts' currency crisis risk scores. The data do not speak clearly on the other long-horizon EWS model. The two short-horizon private sector models generally performed poorly.

Keywords: WP; currency crisis; DCSD model; risk score; exchange rate; crisis risk; KLR definition; Currency crises; vulnerability indicators; crisis prediction; forecasting accuracy; balance of payments crisis; KLR crisis; Early warning systems; Exchange rate arrangements; Exchange rate adjustments; Asia and Pacific; Africa (search for similar items in EconPapers)
Pages: 45
Date: 2004-03-01
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Citations: View citations in EconPapers (117)

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Journal Article: Assessing Early Warning Systems: How Have They Worked in Practice? (2005)
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