Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/297921 
Year of Publication: 
2020
Citation: 
[Journal:] Central Bank Review (CBR) [ISSN:] 1303-0701 [Volume:] 20 [Issue:] 3 [Year:] 2020 [Pages:] 99-107
Publisher: 
Elsevier, Amsterdam
Abstract: 
This paper assesses several early warning (EWS) models of financial crises to propose a model that can predict the incidence of a currency crisis in developing countries. For this purpose, we employ the equal weighting (EW) and dynamic model averaging (DMA) approaches to combine forecast from individual models allowing for time-varying weights. Taking Egypt as a case study and focusing only on currency crises, our findings show that combined forecast (EW- and DMA-based EWS), to account for uncertainty, perform better than other competing models in both in-sample and out-of-sample forecasts.
Subjects: 
Financial crises
Currency crises
Early warning
Uncertainty
Egypt
JEL: 
E44
F31
F47
G01
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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