User's Guide to an Early Warning System for Macroeconomic Vulnerability in Latin American Countries
User's Guide to an Early Warning System for Macroeconomic Vulnerability in Latin American Countries:

Models for an early warning system do a good job predicting vulnerability to macroeconomic crises in several Latin American countries. - Herrera and Garcia develop an early warning system for macroeconomic vulnerability for several Latin American countries, drawing on the work of Kaminsky, Lizondo,...

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Bibliographische Detailangaben
1. Verfasser: Herrera, Santiago (VerfasserIn)
Format: Elektronisch E-Book
Sprache:English
Veröffentlicht: Washington, D.C The World Bank 1999
Schlagworte:
Arts and Music
Banking Crises
Credit Growth
Culture & Development
Currency
Currency Crises
Debt Markets
Domestic Cred Exchange
Economic Conditions and Volatility
Economic Theory and Research
Educational Technology and Distance Learning
Exchange Rate
Federal Reserve
Federal Reserve System
Finance and Financial Sector Development
Financial Crises
Financial Literacy
Geographical Information Systems
Good
Inflation
Inflation Rate
Information Security and Privacy
Instrument
Interest
Interest Rates
Macroeconomics and Economic Growth
Market
Markets and Market Access
Options
Real Exchange Rate
Reserves
Science and Technology Development
Statistical and Mathematical Sciences
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Zusammenfassung:Models for an early warning system do a good job predicting vulnerability to macroeconomic crises in several Latin American countries. - Herrera and Garcia develop an early warning system for macroeconomic vulnerability for several Latin American countries, drawing on the work of Kaminsky, Lizondo, and Reinhart (1997) and Kaminsky (1988). They build a composite leading indicator that signals macroeconomic vulnerability, showing that, historically, crises tend to happen in certain vulnerable situations. Interested mainly in providing an operational tool, Herrera and Garcia use a different approach to the problem than Kaminsky did. First, they use fewer variables to generate the signals. Then, after the variables are aggregated, a signal is issued, depending on the behavior of the composite index. (Kaminsky's procedure was to generate signals with each variable and then aggregate them.) Their results are satisfactory both statistically and operationally. Statistically, Type I and Type II errors are smaller than those reported in previous papers. Operationally, this system of leading indicators is less costly to maintain, given fewer variables - which are widely available and reported with timeliness. Herrera and Garcia tested the models' out-of-sample predictive ability on crises that occurred after the first stage of their project was finished: Colombia (September 1998), Brazil (January 1999), and Ecuador (February 1999). In all cases the models correctly anticipated the speculative attacks. Moreover, Mexico's models, estimated with information available two years before the 1994 crisis, show that these signaling devices would have been useful for signaling the macroeconomic vulnerability before December 1994.
[Fortsetzung 1. Abstract] This paper - a product of the Economic Policy Sector Unit, Latin America and the Caribbean Region - is part of a larger effort in the region to build tools that policymakers can use to prevent crises. The authors may be contacted at cgarciacorado@worldbank.org or sherrera@worldbank.org
Beschreibung:Weitere Ausgabe: Herrera, Santiago: User's Guide to an Early Warning System for Macroeconomic Vulnerability in Latin American Countries
Beschreibung:1 Online-Ressource (1 online resource (22 p.))
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