Template-type: ReDif-Paper 1.0
Author-Name: Candelon Bertrand 
Author-Name: Dumitrescu Elena-Ivona 
Author-Name: Hurlin Christophe 
Author-workplace-name: METEOR
Title: How to evaluate an Early Warning System? Towards a United Statistical Framework for Assessing Financial Crises Forecasting Methods
Abstract: This paper proposes a new statistical framework originating from the traditional credit-scoring literature, to evaluate currency crises Early Warning Systems (EWS). Based on an assessment of the predictive power of panel logit and Markov frameworks, the panel logit model is outperforming the Markov switching specitcations. Furthermore, the introduction of forward-looking variables clearly improves the forecasting properties of the EWS. This improvement confirms the adequacy of the second generation crisis models in explaining the occurrence of crises.
Keywords: macroeconomics ; 
Series: Research Memoranda
Creation-Date: 2010
Number: 046
File-URL: http://arnop.unimaas.nl/show.cgi?fid=20252
File-Format: application/pdf
File-Size: 1085020
Handle: RePEc:unm:umamet:2010046