This paper investigates the factors behind the 1994 and 1997 crises and whether these can explain the 1998 crisis. The study reveals that: (i) variables used in an Early Warning System model developed by IMF staff scored well in predicting the 1998 crisis out-of-sample; (ii) all three crisis...

The Empirical Probability (EP) technique is proposed as an effective support tool to assist agents operating in a global fusion of financial markets. This technique facilitates the identification and prediction of primary, secondary and tertiary trends in addition to the recognition of trend...

This study focuses on identifying the main factors that influenced country-specific and aggregate demand for IMF concessional financing between 1986 and 2018 and makes within-period and out-of-period forecasts. We find that the external debt level, inflation, and real effective exchange rate are...

This draft is a summary of the paper entitled: Forecasting Fuel Prices with the Chilean Exchange Rate. In that paper we show that the Chilean exchange rate has the ability to predict the returns of oil prices and of three additional oil-related products: gasoline, propane and heating oil. The...

I examine the forecasting performance, directional accuracy, rationality and economic value of analyst forecasts and characteristics of investment portfolios built from these forecasts for 30 currency pairs from 2006 to 2020. My results show that analyst forecasts perform worse than forecasts...

Consider forecasting the economic variable Y_{t h} with predictors X_{t}, where h is the forecast horizon. This paper introduces a semiparametric method that generates forecast intervals of Y_{t h}|X_{t} from point forecast models. First, the point forecast model is estimated, thereby taking...

In this paper, we present a leading economic indicators approach to the predictability of currency crises in Turkey. After summarizing main theoretical models of currency crises and discussing the possible origins of financial crises in the European ERM countries (1992-93), Turkey (1994) and...

This article presents evidence on mean reversion in industrial countries' real exchange rates in a setup that accounts naturally for cross-sectional dependence, is invariant to the benchmark currency and actually tests for the null of interest, i.e. purchasing power parity. Our results are based...

Starting with Friedman and Mundell the academic literature has conducted a high level debate concerning the design of cross-country monetary arrangements. That debate has become very complex and the data requirements necessary for appropriate application of the principles developed are far...