Anticipating Arrears to the IMF Early Warning Systems

January 1, 2003

Preview Citation

Format: Chicago

Chikako Oka. Anticipating Arrears to the IMF Early Warning Systems, (USA: International Monetary Fund, 2003) accessed December 22, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

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.

Subject: Arrears, Currency crises, Debt service, Early warning systems, Econometric analysis, External debt, Financial crises, Probit models

Keywords: Arrears, Arrears case, Arrears period, Arrears to the IMF, Credit risk, Debt service, Default, Early warning, Early warning systems, Function method, IMF arrears, IMF debt, IMF relative, Probit models, WP

Publication Details

Pages:

35
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2003/018
Stock No:

WPIEA0182003
ISBN:

9781451843668
ISSN:

1018-5941

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