Early warning systems : a survey and a regime-switching approach /
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| Author / Creator: | Abiad, Abdul, author. |
|---|---|
| Imprint: | [Washington, D.C.] : International Monetary Fund, ©2003. |
| Description: | 1 online resource (59 pages) : illustrations |
| Language: | English |
| Series: | IMF working paper, 2227-8885 ; WP/03/32 IMF working paper ; WP/03/32. |
| Subject: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/12497592 |
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| 050 | 4 | |a HG3881.5.I58 |b W67 no.03/32 | |
| 100 | 1 | |a Abiad, Abdul, |e author. |0 http://id.loc.gov/authorities/names/no2003022046 | |
| 245 | 1 | 0 | |a Early warning systems : |b a survey and a regime-switching approach / |c Abdul Abiad. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c ©2003. | ||
| 300 | |a 1 online resource (59 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF working paper, |x 2227-8885 ; |v WP/03/32 | |
| 504 | |a Includes bibliographical references (pages 54-59). | ||
| 588 | 0 | |a Print version record. | |
| 506 | |3 Use copy |f Restrictions unspecified |2 star |5 MiAaHDL | ||
| 533 | |a Electronic reproduction. |b [Place of publication not identified] : |c HathiTrust Digital Library, |d 2010. |5 MiAaHDL | ||
| 538 | |a Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. |u http://purl.oclc.org/DLF/benchrepro0212 |5 MiAaHDL | ||
| 583 | 1 | |a digitized |c 2010 |h HathiTrust Digital Library |l committed to preserve |2 pda |5 MiAaHDL | |
| 520 | |a Previous early-warning systems (EWSs) for currency crises have relied on models that require a priori dating of crises. This paper proposes an alternative EWS, based on a Markov-switching model, which identifies and characterizes crisis periods endogenously; this also allows the model to utilize information contained in exchange rate dynamics. The model is estimated using data for the period 1972-99 for the Asian crisis countries, taking a country-by-country approach. The model outperforms standard EWSs, both in signaling crises and reducing false alarms. Two lessons emerge. First, accounting for the dynamics of exchange rates is important. Second, different indicators matter for different countries, suggesting that the assumption of parameter constancy underlying panel estimates of EWSs may contribute to poor performance. | ||
| 546 | |a English. | ||
| 650 | 0 | |a Financial crises |x Forecasting |x Econometric models. | |
| 650 | 0 | |a Economic forecasting |x Econometric models. | |
| 650 | 0 | |a Foreign exchange rates |x Econometric models. | |
| 650 | 0 | |a Financial crises |x Econometric models. | |
| 650 | 6 | |a Crises financières |x Modèles économétriques. | |
| 650 | 6 | |a Prévision économique |x Modèles économétriques. | |
| 650 | 6 | |a Taux de change |x Modèles économétriques. | |
| 650 | 7 | |a Financial crises |x Econometric models. |2 fast |0 (OCoLC)fst00924608 | |
| 650 | 7 | |a Economic forecasting |x Econometric models. |2 fast |0 (OCoLC)fst00901947 | |
| 650 | 7 | |a Foreign exchange rates |x Econometric models. |2 fast |0 (OCoLC)fst00931818 | |
| 655 | 4 | |a Electronic books. | |
| 710 | 2 | |a International Monetary Fund. |b Research Department. |0 http://id.loc.gov/authorities/names/n77001219 | |
| 776 | 0 | 8 | |i Print version: |a Abiad, Abdul. |t Early warning systems. |d [Washington, D.C.] : International Monetary Fund, ©2003 |w (OCoLC)51814118 |
| 830 | 0 | |a IMF working paper ; |v WP/03/32. |0 http://id.loc.gov/authorities/names/no89010263 | |
| 856 | 4 | 0 | |u http://elibrary.imf.org/view/journals/001/2003/032/001.2003.issue-032-en.xml |y INTERNATIONAL MONETARY FUND |
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