Un modelo de predicción de crisis financieras en los mercados emergentes: 1970 – 2009
A Prediction Model of Financial Crises in Emerging Markets: 1970 - 2009
Alfonso Ayala Loro ()
MPRA Paper from University Library of Munich, Germany
In this paper we describe one of the most important models on financial crisis prediction in emerging markets; we also present the results of the test of this model of “thresholds” using monthly data from 1970 to first quarter of 2009. The suggested model has been based on the signal approach of Kaminsky, Lizondo and Reinhart (1998). We obtain an identification of the main determinant factors of financial crisis (in the empiric sense of the present work) understood as an approximation to the probability of crisis in the short term.
Keywords: Crisis financieras; mercados emergentes; modelos de predicción; modelos de alerta temprana (search for similar items in EconPapers)
JEL-codes: F47 E37 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:42403
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