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

45 Pages Posted: 14 Feb 2006

See all articles by Andrew Berg

Andrew Berg

International Monetary Fund (IMF) - Developing Country Studies Division

Eduardo Borensztein

Inter-American Development Bank (IADB)

Catherine A. Pattillo

International Monetary Fund (IMF) - Research Division

Date Written: March 2004

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: Currency crises, vulnerability indicators, crisis prediction, forecasting accuracy, balance of payments crisis

JEL Classification: F31, F47

Suggested Citation

Berg, Andrew and Borensztein, Eduardo and Pattillo, Catherine, Assessing Early Warning Systems: How Have They Worked in Practice? (March 2004). IMF Working Paper No. 04/52, Available at SSRN: https://ssrn.com/abstract=878875

Andrew Berg (Contact Author)

International Monetary Fund (IMF) - Developing Country Studies Division ( email )

700 19th Street NW
Washington, DC 20431
United States
202-623-8843 (Phone)
202-589-8843 (Fax)

Eduardo Borensztein

Inter-American Development Bank (IADB) ( email )

1300 New York Avenue NW
Washington, DC 20577
United States

Catherine Pattillo

International Monetary Fund (IMF) - Research Division ( email )

700 19th Street NW
Washington, DC 20431
United States

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