Early Warning Systems : A Survey and a Regime-Switching Approach

A Survey and a Regime-Switching Approach

Early Warning Systems : A Survey and a Regime-Switching Approach
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 READ MORE...

Publication date: February 2003
ISBN 9781451845136
$15.00

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