English, Article, Journal or magazine article edition: A forewarning indicator system for financial crises: the case of six Central and Eastern European countries Gilles Dufrenot; Irène Andreou; Alain Sand-Zantman; ...

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Bookmark: http://trove.nla.gov.au/version/200549
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • A forewarning indicator system for financial crises: the case of six Central and Eastern European countries
Author
  • Gilles Dufrenot
  • Irène Andreou
  • Alain Sand-Zantman
  • Irene Andreou
  • Gilles Dufrénot
  • Aleksandra Zdzienicka-Durand
Physical Description
  • preprint
Notes
  • RePEc:wdi:papers:2008-901
  • Currency Crisis; Early Warning System; Composite Indicator; Eastern Europe
  • RePEc:hal:journl:halshs-00372728_v1
  • RePEc:hal:journl:halshs-00142433_v1
  • RePEc:fce:doctra:0727
  • We propose a measure of the probability of crises associated with an aggregate indicator, where the percentage of false alarms and the proportion of missed signals can be combined to give an appreciation of the vulnerability of an economy. In this perspective, the important issue is not only to determine whether a system produces true predictions of a crisis, but also whether there are forewarning signs of a forthcoming crisis prior to its actual occurrence. To this end, we adopt the approach initiated by Kaminsky, Lizondo and Reinhart (1998), analyzing each indicator and calculating each threshold separately. We depart from this approach in that each country is also analyzed separately, permitting the creation of a more “custom-made” early warning system for each one.
  • composite indicator, currency crisis, early warning system
  • RePEc:gat:wpaper:0709
Language
  • English
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