This paper develops a new Early Warning System (EWS) model for predicting financial crises, based on a multinomial logit model. It is shown that EWS approaches based on binomial discrete-dependent-variable models can be subject to what we call a post-crisis bias. This bias arises when no...

This paper develops a new Early Warning System (EWS) model for predicting financial crises, based on a multinomial logit model. It is shown that EWS approaches based on binomial discrete-dependent-variable models can be subject to what we call a post-crisis bias. This bias arises when no...

In the last fifteen years four crisis episodes occurred in the Turkish economy in April 1994, February 2001, May 2006 and October 2008. These local crises with minor effects on other countries led nevertheless to severe economic and social consequences in terms of increasing domestic interest...

We apply extreme value theory to assess the tail dependence between three currency crisis measures and 18 economic indicators commonly used for predicting crises. In our pooled sample of 46 countries in the period 1974–2008, we find that nearly all pairs of variables are asymptotically...

Different severe financial crises episodes occurred in the Turkish economy in the last two decades. These crises led to severe economic and social consequences for Turkey in terms of increasing interest rates, large reserves losses, considerable currency depreciations, high output losses and...

The objective of this paper is to implement a prototype of a currency crisis model as part of an early warning system framework for Uganda. The financial systems of developing countries like Uganda are especially vulnerable and therefore robust instruments to predict crises are needed. Our model...

This study identifies common features of currency crises in 15 emerging countries over the period 1980-1998. By analyzing such features, we build an early-warning system aimed at predicting looming crises in probabilistic terms.

The objective of this paper is to implement a prototype of a currency crisis model as part of an early warning system framework for Uganda. The financial systems of developing countries like Uganda are especially vulnerable and therefore robust instruments to predict crises are needed. Our model...