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Predicting Sovereign Debt Crises
Author:
Mr. Axel Schimmelpfennig
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Nouriel Roubini null

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Paolo Manasse null

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Series:
IMF Working Papers
Volume/Issue:
Volume 2003: Issue 221
Language:
English
Publication Date:
01 Nov 2003
DOI:
https://doi.org/10.5089/9781451875256.001
ISBN:
9781451875256
ISSN:
1018-5941
Pages:
41
Keywords:
WP; debt crisis; crisis entry; crises episode; debt-crisis indicator; currency crisis; Early-warning system; sovereign debt crises; sovereign default; debt-crisis entry; debt-crisis episode; crisis probability; debt-crisis event; crisis definition; debt crises episode; debt-servicing difficulties; probability rise; debt-servicing pressure; crisis exit; debt-servicing obligation; Debt default; Early warning systems; Africa
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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We develop an early-warning model of sovereign debt crises. A country is defined to be in a debt crisis if it is classified as being in default by Standard & Poor's, or if it has access to nonconcessional IMF financing in excess of 100 percent of quota. By means of logit and binary recursive tree analysis, we identify macroeconomic variables reflecting solvency and liquidity factors that predict a debt-crisis episode one year in advance. The logit model predicts 74 percent of all crises entries while sending few false alarms, and the recursive tree 89 percent while sending more false alarms.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund