Assessing Early Warning Systems: How Have they Worked in Practice?
IMF Working Papers, March 1, 2004
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- Assessing Early Warning Systems: How Have they Worked in Practice?
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Bibliographic details
- Authors: Andrew Berg, Eduardo Borensztein, Catherine A Pattillo
- Published: March 1, 2004
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451847284.001
Summary / Key Findings
- 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.
Models and Scope
- Models tracked include long-horizon EWS models and short-horizon private sector models.
- Comparators used in evaluation: pure guesswork, agency ratings, private analysts' currency crisis risk scores.
- Subject areas listed: Currency crises, Early warning systems, Exchange rate adjustments, Exchange rate arrangements, Financial crises, Foreign exchange.
- Keywords listed: Africa, Asia and Pacific, balance of payments crisis, crisis prediction, crisis risk, Currency crises, currency crisis, DCSD model, Early warning systems, exchange rate, Exchange rate adjustments, Exchange rate arrangements, forecasting accuracy, KLR crisis, KLR definition, risk score, vulnerability indicators, WP.
Publication and Metadata
- Authors: Andrew Berg, Eduardo Borensztein, Catherine A Pattillo
- Date: March 1, 2004
- Series: Working Paper No. 2004/052
- Issue: 052
- Volume: 2004
- Pages: 45
- DOI: https://doi.org/10.5089/9781451847284.001
- Stock No: WPIEA0522004
- ISBN: 9781451847284
- ISSN: 1018-5941
IMF Working Paper No. 2004/052 (March 1, 2004) — Andrew Berg, Eduardo Borensztein, Catherine A Pattillo — DOI: https://doi.org/10.5089/9781451847284.001