Series: IMF Working Papers
Author(s): Abdul Abiad
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 February 2003
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...