Comparing the Performance of Logit and Probit Early Warning Systems for Currency Crises in Emerging Market Economies »
Series: IMF Working Papers
Author(s): Fabio Comelli
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 17 April 2014
Keywords: out-of-sample performance, currency crisis, crisis episodes, global financial crisis, General, out-of-sample performance.,
We compare how logit (fixed effects) and probit early warning systems (EWS) predict insample and out-of-sample currency crises in emerging markets (EMs). We look at episodes of currency crises that took place in 29...