Can the upturns and downturns in financial variables serve as early warning indicators of banking crises? Using data from 59 advanced and emerging economies, we show that financial overheating can be detected in real time. Equity prices and output gap are the best leading indicators in advanced...

This paper shows how the role of Financial Soundness Indicators (FSIs) in financial surveillance can be usefully enhanced. Drawing from different statistical techniques, the paper illustrates that FSIs generate signals that can accurately detect, with 4 to 12 quarters lead, emerging financial...

We construct sentiment indices for 20 countries from 1980 to 2019. Relying on computational text analysis, we capture specific language like 'fear', 'risk', 'hedging', 'opinion', and, 'crisis', as well as 'positive' and 'negative' sentiments, in news articles from the Financial Times. We assess...

This paper evaluates three models for predicting currency crises that were proposed before 1997. The idea is to answer the question: if we had been using these models in late 1996, how well armed would we have been to predict the Asian crisis? The results are mixed but somewhat encouraging. One...

The performance of macroeconomic indicators of capital mobility is examined in the context of an intertemporal equilibrium model of a small open economy. Recursive numerical solution methods are used to compute measures of consumption smoothing, savings-investment correlation, and the...

The study presents an analysis of the information content of IMF’s Data Quality Assessment Framework (DQAF) indicators. There are significant differences in the quantity of information between DQAF dimensions and sub-dimensions. The most informative DQAF dimension is accessibility, followed by...

This paper discusses five indicators of competitiveness: real exchange rates based on consumer price indices, export unit values of manufacturing goods, the relative price of traded to nontraded goods, normalized unit labor costs in manufacturing, and the ratio of normalized unit labor costs to...

This paper assesses the usefulness of summary measures of fiscal sustainability for the purpose of multilateral surveillance. An overview of the main conceptual issues is first presented. Next, an assessment is made of the strengths and weaknesses of the summary measures in the context of their...

This study proposes a data-based algorithm to select a subset of indicators from a large data set with a focus on forecasting recessions. The algorithm selects leading indicators of recessions based on the forecast encompassing principle and combines the forecasts. An application to U.S. data...