Anticipating Arrears to the IMF Early Warning Systems
January 1, 2003
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Summary
This paper attempts to predict the incidence of arrears to the International Monetary Fund (IMF) by modifying and applying two of the major early warning systems for currency crises: the "signals" approach proposed by Kaminsky, Lizondo, and Reinhart (1997) and the probit-based alternative developed by Berg and Pattillo (1998). The results, based on both in-sample and out-of-sample tests, appear encouraging. While the unique nature of IMF arrears poses some challenges, the models could be useful tools for identifying countries at high risk of incurring arrears to the IMF.
Subject: Arrears, Currency crises, Debt service, Early warning systems, Econometric analysis, External debt, Financial crises, Probit models
Keywords: Arrears, arrears case, arrears period, Arrears to the IMF, credit risk, Debt service, default, early warning, Early warning systems, function method, IMF arrears, IMF debt, IMF relative, Probit models, WP
Pages:
35
Volume:
2003
DOI:
Issue:
018
Series:
Working Paper No. 2003/018
Stock No:
WPIEA0182003
ISBN:
9781451843668
ISSN:
1018-5941
