Assessing Early Warning Systems: How Have They Worked in Practice?
45 Pages Posted: 14 Feb 2006
Date Written: March 2004
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: Currency crises, vulnerability indicators, crisis prediction, forecasting accuracy, balance of payments crisis
JEL Classification: F31, F47
Suggested Citation: Suggested Citation