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An Optimal Early Warning System for Currency Crises Under Model Uncertainty
Mamdouh Mohamed,
Hany Abdel-Latif,
Hany Mohamed
SSRN Electronic Journal
Swansea University Author: Hany Mohamed
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DOI (Published version): 10.2139/ssrn.3428016
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 indiv...
| Published in: | SSRN Electronic Journal |
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| ISSN: | 1556-5068 |
| Published: |
2019
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| Online Access: |
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa51894 |
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| 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 (DMA- and EW-based EWS) to account for uncertainty perform better than other competing models in both in-sample and out-of-sample forecasts. |
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| Keywords: |
Financial Crises, Currency Crises, Early Warning, Uncertainty, Egypt |
| College: |
Faculty of Humanities and Social Sciences |