## Predicting Sovereign Debt Crises

_IMF Working Papers, November 1, 2003_

## Source details

**Canonical URL:** [Predicting Sovereign Debt Crises](https://www.imf.org/en/publications/wp/issues/2016/12/30/predicting-sovereign-debt-crises-16951)

## Other formats

- [Markdown version](/en/publications/wp/issues/2016/12/30/predicting-sovereign-debt-crises-16951/index.md)
- [Structured JSON version](/en/publications/wp/issues/2016/12/30/predicting-sovereign-debt-crises-16951/index.json)
- [Bundle manifest](/en/publications/wp/issues/2016/12/30/predicting-sovereign-debt-crises-16951/bundle-manifest.json)

## 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)._

---

## Content in this bundle

- **Wp03221**
  - [Wp03221 (Markdown version)](/-/media/websites/imf/imported-full-text-pdf/external/pubs/ft/wp/2003/_wp03221.pdf.md){rel="alternate" type="text/markdown"}
  - [Wp03221 (PDF)](/-/media/websites/imf/imported-full-text-pdf/external/pubs/ft/wp/2003/_wp03221.pdf){rel="external" type="application/pdf"}

---

_Source: https://www.imf.org/en/publications/wp/issues/2016/12/30/predicting-sovereign-debt-crises-16951_