Assessing Early Warning Systems: How Have They Worked in Practice?

By Andrew Berg, E. Borensztein, Catherine A. Pattillo. Social Science Research Network, 2004

385 citations recorded by the source corpus.

Since 1999, IMF staff have been tracking several early warning system (EWS) models of currency crisis. The results have been mixed. One of the long-horizon models has performed well relative to pure guesswork and to available non-model-based forecasts, such as agency ratings and private analysts' currency crisis risk scores. The data do not speak clearly on the other long-horizon EWS model. The two short-horizon private sector models generally performed poorly.

Subfields: Artificial Intelligence, Epidemiology

View Paper: https://www.semanticscholar.org/paper/7c6d94ab9ccc4746d07d0537633695e7653389ce

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Citations in the corpus

• Too Much of a Good Thing? Credit Booms in Transition Economies: The Cases of Bulgaria, Romania, and Ukraine (2005, background): “A recent survey of early warning system models by Berg, Borensztein, and Pattillo (2004) reports widespread use of the current account as one of the predictive variables.”
• The Optimal Level of International Reserves For Emerging Market Countries: A New Formula and Some Applications (2011, neutral): “See Berg et al (2005) for a recent review on early warning indicators of currency crises.”
• Assessing systemic risks and predicting systemic events (2013, methodology): “Berg and Pattillo (2000), Edison (2003) and Berg et al. (2005) use the methodology of Kaminsky and Reinhart (1999)5 and a more general probit model for the out-of-sample prediction of the Asian crisis with encouraging results.”
• Operationalising the Countercyclical Capital Buffer: Indicator Selection, Threshold Identification and Calibration Options (2014, methodology): “The area under the receiver operating characteristic (AUROC) curve More recently the AUROC has been used as an evaluation criterion in the economics literature, for instance Berge and Jordà (2011), Jordà and Taylor (2011), Candelon et al. (2012), Jordà (2012), Drehmann and Juselius (2014), Betz et a”
• Does financial globalization promote risk sharing (2009, background): “debt and the likelihood of financial crises (see Rodrik and Velasco, 2000; Berg et al., 2004). 15 Kose et al. (2006) report that the share of debt in gross stocks of foreign assets and”