A forewarning indicator system for financial crises: the case of six Central and Eastern European countries - Groupement de Recherche en Économie Quantitative d'Aix-Marseille Accéder directement au contenu
Autre Publication Scientifique Année : 2007

A forewarning indicator system for financial crises: the case of six Central and Eastern European countries

Résumé

We propose a measure of the probability of crises associated with an aggregate indicator, where the percentage of false alarms and the proportion of missed signals can be combined to give an appreciation of the vulnerability of an economy. In this perspective, the important issue is not only to determine whether a system produces true predictions of a crisis, but also whether there are forewarning signs of a forthcoming crisis prior to its actual occurrence. To this end, we adopt the approach initiated by Kaminsky, Lizondo and Reinhart (1998), analyzing each indicator and calculating each threshold separately. We depart from this approach in that each country is also analyzed separately, permitting the creation of a more “custom-made” early warning system for each one.
Fichier principal
Vignette du fichier
0709.pdf (191.32 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)

Dates et versions

halshs-00142433 , version 1 (19-04-2007)

Identifiants

  • HAL Id : halshs-00142433 , version 1

Citer

Irène Andreou, Gilles Dufrénot, Alain Sand-Zantman, Aleksandra Zdzienicka-Durand. A forewarning indicator system for financial crises: the case of six Central and Eastern European countries. 2007. ⟨halshs-00142433⟩
90 Consultations
103 Téléchargements

Partager

Gmail Facebook X LinkedIn More