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Please use this identifier to cite or link to this item: http://hdl.handle.net/1783.1/4371
Title: An early warning system for currency crises
Authors: Wu, Jun
Issue Date: 2007
Abstract: This thesis tests an early warning system that can forecast currency crises. It then compares the performance of the early warning system with data from the three regions of Asia, Europe, and Latin America. The signaling method was developed by Kaminsky, Lizondo, and Reinhart (1998) and Kaminsky and Reinhart (1999). This early warning system for currency crises is based on the idea that some indicators (explanatory variables) tend to display abnormal movements, the “signals”, prior to a currency crisis. An indicator is said to send a "signal" that a currency crisis may happen whenever it falls below (or exceeds) its threshold. The empirical results show that the signaling method is able to predict currency crises in four Asian economies, two European economies, and six Latin American economies, thus suggesting that an early warning system may be useful for the basic diagnosis of a currency crisis. Keywords: Early Warning System, Currency Crises, Signaling Method, Asia, Europe, Latin America
Description: Thesis (M.Phil.)--Hong Kong University of Science and Technology, 2007
xii, 109 leaves : ill. (some col.) ; 30 cm
HKUST Call Number: Thesis ECON 2007 Wu
URI: http://hdl.handle.net/1783.1/4371
Appears in Collections:ECON Master Theses

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