Electronic Resource
Cambridge, Mass.
:
Berkeley Electronic Press (now: De Gruyter)
Studies in nonlinear dynamics and econometrics
10.2006, 1, art6
ISSN:
1081-1826
Source:
Berkeley Electronic Press Academic Journals
Topics:
Mathematics
,
Economics
Notes:
This paper modifies an ad hoc index originated by Eichengreen et al (1995,1996), which is often used to document financial crises in emerging markets. By assuming nonlinear dynamics in a system of financial data, we successfully develop an alternative approach that not only captures the essence of the conventional index but also offers an indicator that leads the crises in-sample. This is very important for policy markers of transitional economies like Macedonia, for which the historical macroeconomic data are often inadequate for existing "early warning sign" systems of potential crises.
Type of Medium:
Electronic Resource
URL:
http://www.bepress.com/snde/vol10/iss1/art6
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