Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/85379
Authors: 
Lang, Michael
Year of Publication: 
2013
Series/Report no.: 
Working Paper Series, Frankfurt School of Finance & Management 205
Abstract: 
This paper builds upon the model of Kaminsky and Reinhart (1999) and extends it to triplecrises. It applies a new visualisation approach combining elements of an event study analysis and a fan chart technique. This approach illustrates the deviation of fundamentals in the runup to balance-of-payments problems. The results suggest that both systemic banking crises and deteriorating government finances are highly significant leading indicators. Taking these indicators into account helps build a new early warning system for currency crises. The results are highly significant and robust. The out-of-sample forecasts demonstrate the strong predictive power of the model.
Subjects: 
currency crisis
financial sector vulnerability
early warning system
JEL: 
F30
F31
F34
F41
G01
Document Type: 
Working Paper

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