Designing an early warning system for currency crises: an empirical treatment
This article investigates the predictive power of qualitative response models that can serve as the basis for an early warning system for currency crises. It employs a signals framework that monitors the behaviour of key economic variables and issues a warning when their values exceed certain critical levels. The analysis is carried out for a parsimonious specification with high-frequency data. Taking Egypt as a case study, it is shown that this class of probability models captures to a good extent the turbulence in the foreign exchange market and the onset of crises.
Year of publication: |
2011
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Authors: | El-Shazly, Alaa |
Published in: |
Applied Economics. - Taylor & Francis Journals, ISSN 0003-6846. - Vol. 43.2011, 14, p. 1817-1828
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Publisher: |
Taylor & Francis Journals |
Saved in:
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