Brunel University Research Archive (BURA) >
Schools >
School of Social Sciences >
School of Social Sciences Research Papers >

Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/1040

Title: Comparing early warning systems for banking crises
Authors: Davis, EP
Karim, D
Keywords: Banking crises, systemic risk, early warning systems, logit estimation, signal
extraction
Publication Date: 2007
Publisher: Brunel University
Citation: Economics and Finance Working papers, Brunel University, 07-11
Abstract: Despite the extensive literature on prediction of banking crises by Early Warning Systems (EWS), their practical use by policy makers is limited, even in the international financial institutions. This is a paradox since the changing nature of banking risks as more economies liberalise and develop their financial systems, as well as ongoing innovation, makes the use of EWS for crisis prevention more necessary than ever. In this context, we assess the logit and signal extraction EWS for banking crises on a comprehensive common dataset. We suggest that logit is the most appropriate approach for global EWS and signal extraction for country specific EWS. Furthermore it is important to consider the policy maker s objectives when designing predictive models and setting related thresholds since there is a sharp trade-off between correctly calling crises and false alarms.
URI: http://bura.brunel.ac.uk/handle/2438/1040
Appears in Collections:School of Social Sciences Research Papers
Economics and Finance

Files in This Item:

File Description SizeFormat
0711.pdf269.08 kBAdobe PDFView/Open

Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.

 


Library (c) Brunel University.    Powered By: DSpace
Send us your
Feedback. Last Updated: September 14, 2010.
Managed by:
Hassan Bhuiyan