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An Early Warning Model for Currency Crises in CEE Countries
Development and Application of an Early Warning Model for CEE Countries
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In this study, an early warning model for currency§crises was developed for a sample of quarterly data§from twelve Central and Eastern European transition§countries. Two multivariate probit regressions with§all statistically significant economic variables on a§(0,1)-distributed crisis variable were estimated. For§in-sample forecasts, the predictions of both model§specifications proved to perform significantly better§than random guesses as well as some comparable early§warning models. Overall, the model appears to track§developments in individual countries rather well,§although the importance of some variables seems to§change over time. With respect to economic§interpretations, the results of this study lend§support to first generation and generation two and§a half crisis models which place a big weight on§economic fundamentals in explaining currency crises.
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