Search IMF Staff Papers


Advanced Search
Journal Description

Editorial Committee

How to Subscribe

Forthcoming Articles

Staff Papers Archive

Copyright Information

Use the free Adobe Acrobat Reader to view pdf files

Free Email Notification

Receive emails when we post new items of interest to you.

Subscribe or Modify your profile




IMF Staff Papers Logo    June 1999
Volume 46, Number 2
 
Are Currency Crises Predictable? A Test
By Andrew Berg and Catherine Pattillo

Full Text of this Article (PDF 224 K)
Download the datasets from a zip file. This zip file contains the data, programs, and documentation files for this article. Files with a *.do or *.dta extension are programs and datafiles that require STATA version 5.0 or higher. All other data files are comma-separated text files.

Abstract: This paper evaluates three models for predicting currency crises that were proposed before 1997. The idea is to answer the question: if we had been using these models in late 1996, how well armed would we have been to predict the Asian crisis? The results are mixed. Two of the models fail to provide useful forecasts. One model provides forecasts that are somewhat informative though still not reliable. Plausible modifications to this model improve its performance, providing some hope that future models may do better. This exercise suggests, though, that while forecasting models may help indicate vulnerability to crisis, the predictive power of even the best of them may be limited. [JEL F31, F47]

© 1999 International Monetary Fund