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Erscheinungsjahr: 
2020
Quellenangabe: 
[Journal:] Central Bank Review (CBR) [ISSN:] 1303-0701 [Volume:] 20 [Issue:] 3 [Year:] 2020 [Pages:] 99-107
Verlag: 
Elsevier, Amsterdam
Zusammenfassung: 
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.
Schlagwörter: 
Financial crises
Currency crises
Early warning
Uncertainty
Egypt
JEL: 
E44
F31
F47
G01
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