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...

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Bibliographic details
Volume: 25
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:
F30
F31
F47
Online Access: available in Bonn?
Database: Social Sciences Citation Index
Web of Science - Social Sciences Citation Index - 2006
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