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Assessing Early Warning Systems: How Have they Worked in Practice?

Author

Listed:
  • Mr. Andrew Berg
  • Mr. Eduardo Borensztein
  • Ms. Catherine A Pattillo

Abstract

Since 1999, the IMF's staff has been tracking several early-warning-system (EWS) models of currency crisis. The results have been mixed. One of the long-horizon models has performed well relative to pure guesswork and to available non-model-based forecasts, such as agency ratings and private analysts' currency crisis risk scores. The data do not speak clearly on the other long-horizon EWS model. The two short-horizon private sector models generally performed poorly.

Suggested Citation

  • Mr. Andrew Berg & Mr. Eduardo Borensztein & Ms. Catherine A Pattillo, 2004. "Assessing Early Warning Systems: How Have they Worked in Practice?," IMF Working Papers 2004/052, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2004/052
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    References listed on IDEAS

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    More about this item

    Keywords

    WP; currency crisis; DCSD model; risk score; exchange rate; crisis risk; KLR definition; Currency crises; vulnerability indicators; crisis prediction; forecasting accuracy; balance of payments crisis; KLR crisis; Early warning systems; Exchange rate arrangements; Exchange rate adjustments; Asia and Pacific; Africa;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications

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