Towards a new early warning system of financial crises

被引:329
|
作者
Bussiere, Matthieu [1 ]
Fratzscher, Marcel [1 ]
机构
[1] European Cent Bank, D-60311 Frankfurt, Germany
关键词
currency crises; early warning system; crisis prediction; financial stability; emerging markets;
D O I
10.1016/j.jimonfin.2006.07.007
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This paper develops a new early warning system (EWS) model, based on a multinomial logit model, for predicting financial crises. It is shown that commonly used EWS approaches, which use binomial discrete-dependent-variable models, are subject to what we call a post-crisis bias. This bias arises when no distinction is made between tranquil periods, when economic fundamentals are largely sound and sustainable, and crisis/post-crisis periods, when economic variables go through an adjustment process before reaching a more sustainable level or growth path. We show that applying a multinomial logit model, which allows distinguishing between more than two states, is a valid way of solving this problem and constitutes a substantial improvement in the ability to forecast financial crises. The empirical results reveal that, for a set of 20 open emerging markets for the period 1993-2001, the model would have correctly predicted a large majority of crises in emerging markets. (c) 2006 Elsevier Ltd. All rights reserved.
引用
收藏
页码:953 / 973
页数:21
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