A Parametric EWS Model of Currency Crises for East Asia

Koo, Younghoon; Oh, Chang Seok; Joo, Hyunsoo; Lee, Seungjae; Tan, Jose Antonio

doi:10.1057/9780230501065_5

Cited by 1 publication

(2 citation statements)

References 8 publications

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“…Van den Berg et al (2008) argued that global or other regional models frequently have lower accuracy because panel data have different quality. Several researchers have developed an early warning system using a logit model for the emerging market, including a special case for Indonesia (Koo et al, 2005;Ferdous et al, 2022). For the Indonesian case, however, these papers used data till the recovery of the Asian financial crisis.…”

Section: Introductionmentioning

confidence: 99%

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Will Indonesia enter the 2023 financial crisis? Application of early warning model system

Abimanyu

Imansyah

Pratama

2023

Econ. J. Emerg. Mark.

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Purpose ― This paper estimates the possibility of a financial crisis in Indonesia using an early warning system (EWMS) model. Method ― A quantitative EWMS model has been developed to detect a potential financial crisis in 2023 based on the econometric logistic probability model (Logit) Findings ― Based on the model estimates, Indonesia is expected to enter a financial crisis without adequate macroeconomic policies in the next 12 to 24 months. In recent years, Indonesia has implemented prudent macroeconomic policies such as increasing the Bank Indonesia policy rate and sustaining the state budget to avoid the impact of a deep financial crisis. Implications ― To avoid the potential for further financial crises, Indonesia must implement a wider range of crisis mitigation policies. Originality/value ― Although many argue that financial crises are predictable, it has been demonstrated in the literature that little is known about how to prevent them. This paper contributes to providing empirical evidence to address these issues.

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Section: Introductionmentioning

confidence: 99%

“…While Koo et al (2005), with data of ASEAN plus 3, developed a parametric model with a relatively short data range from 1981-1995 and specifically for Indonesia starting in May 1987. The results of the fixed effect logit and probit models are not good, meaning that they cannot predict the 1997 financial crisis in Indonesia.…”

Section: Introductionmentioning

confidence: 99%