| Description |
1 online resource (26 pages) : color illustrations |
| Series |
IMF working paper ; WP/14/65 |
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IMF working paper ; WP/14/65.
|
| Contents |
Cover; Abstract; Contents; I. Introduction; II. Literature Review; III. Methodology; Figures; Figure 1. Exchange Rate Pressure Index and Thresholds: January 1995-December 2012; IV. Results; Tables; Table 1. Logit Fixed Effects Regression: Coefficient Estimates; Table 2. Probit Regression: Coefficient Estimates; V. The Performance of The Selected Early Warning System; Figure 1. Areas Under Receiver Operating Characteristic (ROC) Curves; Table 3. Logit EWS: In-sample and Out-of-sample Performances; Table 4. Probit EWS: In-sample and Out-of-sample Performances; VI. Conclusions; References; Annex |
| Summary |
"We compare how logit (fixed effects) and probit early warning systems (EWS) predict insample and out-of-sample currency crises in emerging markets (EMs). We look at episodes of currency crises that took place in 29 EMs between January 1995 and December 2012. Stronger real GDP growth rates and higher net foreign assets significantly reduce the probability of experiencing a currency crisis, while high levels of credit to the private sector increase it. We find that the logit and probit EWS out-of-sample performances are broadly similar, and that the EWS performance can be very sensitive both to the size of the estimation sample, and to the crisis definition employed. For macroeconomic policy purposes, we conclude that a currency crisis definition identifying more rather than less crisis episodes should be used, even if this may lead to the risk of issuing false alarms"--Abstract |
| Notes |
"Institute for Capacity Development"--Page 2 of pdf |
|
"April 2014"--Page 2 of pdf |
| Bibliography |
Includes bibliographical references |
| Notes |
Online resource; title from pdf title page (IMF.org Web site, viewed May 14, 2014) |
| Subject |
Currency crises -- Developing countries -- Prevention
|
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Logits.
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Probits.
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Logits
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Probits
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Developing countries
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| Form |
Electronic book
|
| Author |
International Monetary Fund. Institute for Capacity Development, issuing body.
|
| ISBN |
9781475527278 |
|
1475527276 |
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