Assessing Early Warning Systems: How Have They Worked in Practice?
International Monetary Fund (IMF) - Developing Country Studies Division
Inter-American Development Bank (IADB)
Catherine A. Pattillo
International Monetary Fund (IMF) - Research Division
IMF Working Paper No. 04/52
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.
Number of Pages in PDF File: 45
Keywords: Currency crises, vulnerability indicators, crisis prediction, forecasting accuracy, balance of payments crisis
JEL Classification: F31, F47working papers series
Date posted: February 14, 2006
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