How to evaluate an Early Warning System ? Towards a Unified Statistical Framework to Assess Financial Crises Forecasting Methods


This paper proposes a new statistical framework inherited from the traditional credit-scoring literature, to evaluate currency crises Early Warning System (EWS). Applied so as to assess the predictive power of panel logit and Markov frameworks, it results that the panel logit is outperforming the Markov switching ones. Furthermore, the introduction of… (More)


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