No Cover Image

Journal article 521 views 142 downloads

An optimal early warning system for currency crises under model uncertainty

Mamdouh Abdelmoula M. Abdelsalam, Hany Mohamed

Central Bank Review, Volume: 20, Issue: 3, Pages: 99 - 107

Swansea University Author: Hany Mohamed

  • 53817.pdf

    PDF | Version of Record

    This is an open access article under the CC BY-NC-ND license

    Download (906.08KB)

Check full text

DOI (Published version): 10.1016/j.cbrev.2020.03.002

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 equal weighting (EW) and dynamic model averaging (DMA) approaches to combine forecast from indivi...

Full description

Published in: Central Bank Review
ISSN: 1303-0701
Published: Elsevier BV 2020
Online Access: Check full text

URI: https://cronfa.swan.ac.uk/Record/cronfa53817
Tags: Add Tag
No Tags, Be the first to tag this record!
first_indexed 2020-03-13T13:41:06Z
last_indexed 2021-01-07T04:17:01Z
id cronfa53817
recordtype SURis
fullrecord <?xml version="1.0"?><rfc1807><datestamp>2021-01-06T16:30:30.1973473</datestamp><bib-version>v2</bib-version><id>53817</id><entry>2020-03-13</entry><title>An optimal early warning system for currency crises under model uncertainty</title><swanseaauthors><author><sid>2930976ccf31ef0c71f78f7cb47e2d5d</sid><firstname>Hany</firstname><surname>Mohamed</surname><name>Hany Mohamed</name><active>true</active><ethesisStudent>false</ethesisStudent></author></swanseaauthors><date>2020-03-13</date><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 equal weighting (EW) and dynamic model averaging (DMA) 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 (EW- and DMA-based EWS) to account for uncertainty perform better than other competing models in both in-sample and out-of-sample forecasts.</abstract><type>Journal Article</type><journal>Central Bank Review</journal><volume>20</volume><journalNumber>3</journalNumber><paginationStart>99</paginationStart><paginationEnd>107</paginationEnd><publisher>Elsevier BV</publisher><placeOfPublication/><isbnPrint/><isbnElectronic/><issnPrint>1303-0701</issnPrint><issnElectronic/><keywords>Financial Crises, Currency Crises, Early Warning, Uncertainty, Egypt</keywords><publishedDay>1</publishedDay><publishedMonth>9</publishedMonth><publishedYear>2020</publishedYear><publishedDate>2020-09-01</publishedDate><doi>10.1016/j.cbrev.2020.03.002</doi><url/><notes/><college>COLLEGE NANME</college><CollegeCode>COLLEGE CODE</CollegeCode><institution>Swansea University</institution><apcterm/><lastEdited>2021-01-06T16:30:30.1973473</lastEdited><Created>2020-03-13T09:32:22.0186391</Created><path><level id="1">Faculty of Humanities and Social Sciences</level><level id="2">School of Management</level></path><authors><author><firstname>Mamdouh Abdelmoula M.</firstname><surname>Abdelsalam</surname><order>1</order></author><author><firstname>Hany</firstname><surname>Mohamed</surname><order>2</order></author></authors><documents><document><filename>53817__18987__5261994968214e63b3cd53a54807eec2.pdf</filename><originalFilename>53817.pdf</originalFilename><uploaded>2021-01-06T16:29:05.2879621</uploaded><type>Output</type><contentLength>927824</contentLength><contentType>application/pdf</contentType><version>Version of Record</version><cronfaStatus>true</cronfaStatus><documentNotes>This is an open access article under the CC BY-NC-ND license</documentNotes><copyrightCorrect>true</copyrightCorrect><language>eng</language><licence>http://creativecommons.org/licenses/by-nc-nd/4.0/</licence></document></documents><OutputDurs/></rfc1807>
spelling 2021-01-06T16:30:30.1973473 v2 53817 2020-03-13 An optimal early warning system for currency crises under model uncertainty 2930976ccf31ef0c71f78f7cb47e2d5d Hany Mohamed Hany Mohamed true false 2020-03-13 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 equal weighting (EW) and dynamic model averaging (DMA) 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 (EW- and DMA-based EWS) to account for uncertainty perform better than other competing models in both in-sample and out-of-sample forecasts. Journal Article Central Bank Review 20 3 99 107 Elsevier BV 1303-0701 Financial Crises, Currency Crises, Early Warning, Uncertainty, Egypt 1 9 2020 2020-09-01 10.1016/j.cbrev.2020.03.002 COLLEGE NANME COLLEGE CODE Swansea University 2021-01-06T16:30:30.1973473 2020-03-13T09:32:22.0186391 Faculty of Humanities and Social Sciences School of Management Mamdouh Abdelmoula M. Abdelsalam 1 Hany Mohamed 2 53817__18987__5261994968214e63b3cd53a54807eec2.pdf 53817.pdf 2021-01-06T16:29:05.2879621 Output 927824 application/pdf Version of Record true This is an open access article under the CC BY-NC-ND license true eng http://creativecommons.org/licenses/by-nc-nd/4.0/
title An optimal early warning system for currency crises under model uncertainty
spellingShingle An optimal early warning system for currency crises under model uncertainty
Hany Mohamed
title_short An optimal early warning system for currency crises under model uncertainty
title_full An optimal early warning system for currency crises under model uncertainty
title_fullStr An optimal early warning system for currency crises under model uncertainty
title_full_unstemmed An optimal early warning system for currency crises under model uncertainty
title_sort An optimal early warning system for currency crises under model uncertainty
author_id_str_mv 2930976ccf31ef0c71f78f7cb47e2d5d
author_id_fullname_str_mv 2930976ccf31ef0c71f78f7cb47e2d5d_***_Hany Mohamed
author Hany Mohamed
author2 Mamdouh Abdelmoula M. Abdelsalam
Hany Mohamed
format Journal article
container_title Central Bank Review
container_volume 20
container_issue 3
container_start_page 99
publishDate 2020
institution Swansea University
issn 1303-0701
doi_str_mv 10.1016/j.cbrev.2020.03.002
publisher Elsevier BV
college_str Faculty of Humanities and Social Sciences
hierarchytype
hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management
document_store_str 1
active_str 0
description 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 equal weighting (EW) and dynamic model averaging (DMA) 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 (EW- and DMA-based EWS) to account for uncertainty perform better than other competing models in both in-sample and out-of-sample forecasts.
published_date 2020-09-01T04:06:58Z
_version_ 1763753505317715968
score 11.012678

Similar Items