Front Matter Page
Fiscal Affairs Department
Authorized for distribution by Richard Hemming
Contents
I. Predicting Sovereign Debt Crises
II. Related Literature
III. Data, Descriptive Statistics, and Event Study Analysis
A. The Data
B. Descriptive Statistics
C. Event Study Analysis
IV. The Logit Early-Warning System
A. Estimation Approach
B. Specifying the Logit EWS
V. The Tree EWS
A. The Tree-Analysis Methodology
B. Results from the Tree Analysis
C. Combining the Logit and the Tree EWS
VI. Summary and Conclusions
Text Tables
1. Countries and Debt-Crisis Episodes in the Full Sample
2. Mean of Variables Used in the Regressions
3. Regression Results: Coefficient Estimates, 1990 Onward Sample
4. Regression Results: Model Performance, 1990 Onward Sample
5. Regression Results: Coefficient Estimates, Full Sample
6. Regression Results: Model Performance, Full Sample
7. The Empirical Tree: Model Performance
Figures
1. Event Study Analysis: Short-Term Debt Variables
2. Event Study Analysis: Total Debt, Public Debt, and Debt-Service Variables
3. Event Study Analysis: Balance of Payments Variables
4. Event Study Analysis: Selected Macrovariables
5. Example of Tree Methodology
6. The Empirical Tree
Appendixes
I. Sensitivity Analysis of the Logit EWS
II. Tree Analysis: Prior Probabilities, Misclassification Costs, and Assignment Rules
References