IMF Working Paper 2004 №3 March

Prepared by Andrew Berg, Eduardo Borensztein, and Catherine Pattillo
Introduction
II. Early-Waing-System (EWS) Models
III. Value Added of EWS Models
A. EWS Models and Alteative Indicators in Asia Crisis
B. How Well Have the EWS Models Done in Practice Since Their
Implementation in January 1999
IV. Summary and Conclusions
Appendixes
I. Description of EWS Models and Specification Issues
II Meaning of In-Sample and Out-of-Sample Periods in EWS Models
References
Boxes
1. Crisis Definition
2. Goodness-of-Fit Measures and Trade-Offs
Text Tables
1. Specification of Early-Waing Models
2. Risk Assessments Prior to Asia Crisis Based on KLR, DCSD, Bond Spread, Credit
Rating, and Economist Intelligence Unit Forecasts
3. Crisis Probabilities According to Different Models, as of July 1999
4. Goodness of Fit: DCSD and KLR Models
5. Goodness of Fit: Short-Horizon Models
Appendix Tables
6 Crisis Dates According to Different Models
7. Model Samples
Text Figures
1. Korea: Forward Exchange Rate Premium, Bond Spread, and Probability of an
Exchange Rate Crisis Estimated by DCSD Model, 1996–2000
2. DCSD and KLR In-Sample Forecasts
3. DCSD Model Forecasts
4. KLR Model Forecasts
5. GS Model Forecasts
6. CSFB Model Forecasts .