Anticipating Arrears to the IMF Early Warning Systems [electronic resource] / Chikako Oka.
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TextSeries: IMF Working Papers; Working Paper ; No. 03/18Publication details: Washington, D.C. : International Monetary Fund, 2003Description: 1 online resource (35 p.)ISBN: 1451843666 :ISSN: 1018-5941Subject(s): Currency Crises | Debt Outstanding | Debt Service | Early Warning | External Debt | International Lending and Debt Problems | ZimbabweAdditional physical formats: Print Version:: Anticipating Arrears to the IMF Early Warning SystemsOnline resources: IMF e-Library | IMF Book Store Abstract: This paper attempts to predict the incidence of arrears to the International Monetary Fund (IMF) by modifying and applying two of the major early warning systems for currency crises: the "signals" approach proposed by Kaminsky, Lizondo, and Reinhart (1997) and the probit-based alternative developed by Berg and Pattillo (1998). The results, based on both in-sample and out-of-sample tests, appear encouraging. While the unique nature of IMF arrears poses some challenges, the models could be useful tools for identifying countries at high risk of incurring arrears to the IMF.
This paper attempts to predict the incidence of arrears to the International Monetary Fund (IMF) by modifying and applying two of the major early warning systems for currency crises: the "signals" approach proposed by Kaminsky, Lizondo, and Reinhart (1997) and the probit-based alternative developed by Berg and Pattillo (1998). The results, based on both in-sample and out-of-sample tests, appear encouraging. While the unique nature of IMF arrears poses some challenges, the models could be useful tools for identifying countries at high risk of incurring arrears to the IMF.
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