Robust lessons about practical early warning systems
| Autor: | Katja Sawischlewski, Lukas Menkhoff, Daniela Beckmann |
|---|---|
| Rok vydání: | 2006 |
| Předmět: |
Macroeconomics
Economics and Econometrics emerging markets early warning system currency crises emerging markets Warning system F37 Financial market jel:F31 jel:F33 jel:F37 currency crises ddc:330 Economics Early warning system F33 early warning system currency crises emerging markets Emerging markets F31 early warning system |
| Zdroj: | Journal of Policy Modeling. 28:163-193 |
| ISSN: | 0161-8938 |
| DOI: | 10.1016/j.jpolmod.2005.10.002 |
| Popis: | Early warning systems (EWSs) are subject to restrictions that apply to exchange rates in general: fundamentals matter but their influence is small and unstable. Keeping this in mind, five lessons emerge : First, EWSs have robust forecasting power and thus help policy-makers to prevent crises. Second, among competing crisis definitions there is one which is most practical. Third, take a logit model to condense information from various fundamental variables. Fourth, add a regional contagion dummy to the standard set of variables. Fifth, one may be tempted to address instability over time and countries by taking shorter samples and regional EWSs. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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