Un modelo de predicción de crisis financieras en los mercados emergentes: 1970 – 2009.

Ayala, Alfonso (2011): Un modelo de predicción de crisis financieras en los mercados emergentes: 1970 – 2009.

Abstract

In this paper we describe one of the most important models on financial crisis prediction in emerging markets; we also present the results of the test of this model of “thresholds” using monthly data from 1970 to first quarter of 2009. The suggested model has been based on the signal approach of Kaminsky, Lizondo and Reinhart (1998). We obtain an identification of the main determinant factors of financial crisis (in the empiric sense of the present work) understood as an approximation to the probability of crisis in the short term.

• Item Type: MPRA Paper
• English Title: A Prediction Model of Financial Crises in Emerging Markets: 1970 - 2009.
• Language: Spanish
• Keywords: Crisis financieras, mercados emergentes, modelos de predicción, modelos de alerta temprana
• Subjects: F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F47 - Forecasting and Simulation: Models and Applications; E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E37 - Forecasting and Simulation: Models and Applications

References

BERG, Andrew, BORENSZTEIN, Eduardo; PATTILLO, Catherine (2004) Assessing Early Warning Systems: How Have They Worked in Practice?, IMF Working Paper WP/04/52.

BERG, Andrew; PATTILLO, Catherine (1998) Are currency crises predictable? A test, IMF Working Paper WP/98/154.

EDISON Hali J. (2000) Do Indicators of Financial Crises Work? An Evaluation of an Early Warning System, International Finance Discussion Paper No. 675, Board of Governors of the Federal Reserve System.

FLOOD, Robert P.; MARION, Nancy (1998) Perspectives on the Recent Currency Crises Literature, NBER Working Paper No. 6380, National Bureau of Economic Research.

International Monetary Fund (2009) International Financial Statistics, CD-ROM, Setiembre.

KAMINSKY, Graciela L.; LIZONDO, Saul, REINHART, Carmen (1998) Leading Indicators of Currency Crises, IMF Staff Papers, Vol. 45, pp. 1-48.

PISTELLI, Alfredo (2006) Speculative Currency Attacks: Role of Inconsistent Macroeconomic Policies and Real Exchange Rate Overvaluation, Banco Central de Chile Documento de Trabajo Nº 379.