Predicting Sovereign Debt Crises
IMF Working Papers, November 1, 2003
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- Predicting Sovereign Debt Crises
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Bibliographic details
- Authors: Axel Schimmelpfennig, Nouriel Roubini, Paolo Manasse
- Published: November 1, 2003
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451875256.001
Summary
- Develops an early-warning model of sovereign debt crises.
- Defines a country to be in a debt crisis if it is classified as being in default by Standard & Poor's, or if it has access to nonconcessional IMF financing in excess of 100 percent of quota.
- Uses logit and binary recursive tree analysis to identify macroeconomic variables reflecting solvency and liquidity factors that predict a debt-crisis episode one year in advance.
- The logit model predicts 74 percent of all crises entries while sending few false alarms, and the recursive tree 89 percent while sending more false alarms.
Methodology
- Crisis definition:
- Default classification by Standard & Poor's.
- Access to nonconcessional IMF financing in excess of 100 percent of quota.
- Analytical techniques:
- Logit analysis.
- Binary recursive tree analysis.
- Prediction horizon:
- One year in advance.
Key findings and statistics
- Predictive performance:
- Logit model: predicts 74 percent of all crises entries; sends few false alarms.
- Recursive tree: predicts 89 percent of all crises entries; sends more false alarms.
- Page count: 41 pages.
- Publication identifiers:
- Volume: 2003.
- Issue: 221.
- Series: Working Paper No. 2003/221.
- DOI: https://doi.org/10.5089/9781451875256.001.
- Stock No: WPIEA2212003.
- ISBN: 9781451875256.
- ISSN: 1018-5941.
Subjects and keywords
- Subjects: Debt default, Early warning systems, External debt, Financial crises, Public debt.
- Keywords include: Africa, crises episode, crisis definition, crisis entry, crisis exit, crisis probability, currency crisis, debt crises episode, debt crisis, Debt default, debt-crisis entry, debt-crisis episode, debt-crisis event, debt-crisis indicator, debt-servicing difficulties, debt-servicing obligation, debt-servicing pressure, Early warning systems, Early-warning system, probability rise, sovereign debt crises, sovereign default, WP.
Implied source: "Predicting Sovereign Debt Crises", Axel Schimmelpfennig, Nouriel Roubini, Paolo Manasse, November 1, 2003, IMF Working Papers 2003, 221 (2003).