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Early Warning Systems

Early Warning Systems »

Source: Early Warning Systems : A Survey and a Regime-Switching Approach

Volume/Issue: 2003/32

Series: IMF Working Papers

Author(s): Abdul Abiad

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2003

ISBN: 9781451845136

Keywords: Currency crisis, early warning system, regime switching, Markov switching, probability, probabilities, currency crises, asian crisis, contagion, Forecasting and Other Model Applications

Previous early-warning systems (EWSs) for currency crises have relied on models that require a priori dating of crises. This paper proposes an alternative EWS, based on a Markov-switching model, which identifies an...

Early Warning Systems
			: A Survey and a Regime-Switching Approach

Early Warning Systems : A Survey and a Regime-Switching Approach »

Volume/Issue: 2003/32

Series: IMF Working Papers

Author(s): Abdul Abiad

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2003

DOI: http://dx.doi.org/10.5089/9781451845136.001

ISBN: 9781451845136

Keywords: Currency crisis, early warning system, regime switching, Markov switching, probability, probabilities, currency crises, asian crisis, contagion, Forecasting and Other Model Applications

Previous early-warning systems (EWSs) for currency crises have relied on models that require a priori dating of crises. This paper proposes an alternative EWS, based on a Markov-switching model, which identifies an...