Towards a new early warning system of financial crises
This paper develops a new early warning system (EWS) model, based on a multinomial logit model, for predicting financial crises. It is shown that commonly used EWS approaches, which use binomial discrete-dependent-variable models, are subject to what we call a post-crisis bias. This bias arises when...
Saved in:
Volume: | 25 |
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Main Author: |
Bussiere, Matthieu
Fratzscher, Marcel |
Format: | Journal Article |
Language: | English |
Zielgruppe: |
Professional Academic |
Place of publication: |
OXFORD Elsevier Ltd 2006 ELSEVIER SCI LTD Elsevier Elsevier B.V |
published in: | Journal of international money and finance Vol. 25; no. 6; pp. 953 - 973 |
Data of publication: | 2006 |
ISSN: |
0261-5606 1873-0639 |
EISSN: |
1873-0639 |
Discipline: | Business |
Series: |
Journal of International Money and Finance |
Subjects: | |
Online Access: | available in Bonn? |
Database: | Social Sciences Citation Index Web of Science - Social Sciences Citation Index - 2006 Web of Knowledge Web of Science RePEc RePEc IDEAS CrossRef Academic OneFile (A&I only) Database information Databases - DBIS |