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A Parametric EWS Model of Currency Crises for East Asia

  • Younghoon Koo
  • Chang Seok Oh
  • Hyunsoo Joo
  • Seungjae Lee
  • Jose Antonio TanIII

Abstract

A parametric early warning system (EWS) model attempts to estimate the probability of a financial crisis by using discrete choice econometric methods, which usually take either a probit or logit approach. Earlier studies on parametric EWS models were mostly based on annual data (see, for example, Frankel and Rose 1996). Such models could be useful in identifying causes of financial crises, but may not be suitable for real-time forecasting of crisis probabilities due to their low frequency. More recently, however, there have been heightened efforts to develop parametric EWS models using monthly data aimed at real-time forecasting. A notable example is the Developing Country Studies Division (DCSD) model of currency crises developed and being used by the International Monetary Fund (IMF).1

Keywords

International Monetary Fund Real Exchange Rate Representative Model Currency Crisis Current Account Balance 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Asian Development Bank 2005

Authors and Affiliations

  • Younghoon Koo
  • Chang Seok Oh
  • Hyunsoo Joo
  • Seungjae Lee
  • Jose Antonio TanIII

There are no affiliations available

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