Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153005
Authors: 
Peltonen, Tuomas A.
Year of Publication: 
2006
Series/Report no.: 
ECB Working Paper 571
Abstract: 
This paper analyzes the predictability of emerging market currency crises by comparing the often used probit model to a new method, namely a multi-layer perceptron artificial neural network (ANN) model. According to the results, both models were able to signal currency crises reasonably well in-sample, but the forecasting power of these models out-ofsample was found to be rather poor. Only in the case of Russian (1998) crisis were both models able to signal the crisis well in advance. The results reinforced the view that developing a stable model that can predict or even explain currency crises is a challenging task.
Subjects: 
artificial neural networks
currency crises
emerging markets
JEL: 
F31
E44
C25
C23
C45
Document Type: 
Working Paper

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