NDLI: An Optimal Early Warning System for Currency Crises Under Model Uncertainty

Content Provider	Semantic Scholar
Author	Hany, Mohamed
Copyright Year	2019
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 dynamic model averaging (DMA), and equal weighting (EW) 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 (DMAand EW-based EWS) to account for uncertainty perform better than other competing models in both in-sample and out-of-sample forecasts.
File Format	PDF HTM / HTML
DOI	10.2139/ssrn.3428016
Alternate Webpage(s)	https://cronfa.swan.ac.uk/Record/cronfa51894/Download/0051894-13092019171937.pdf
Alternate Webpage(s)	https://doi.org/10.2139/ssrn.3428016
Language	English
Access Restriction	Open
Content Type	Text
Resource Type	Article

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