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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

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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...

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Published in: Central Bank Review
ISSN: 1303-0701
Published: Elsevier BV 2020
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URI: https://cronfa.swan.ac.uk/Record/cronfa53817
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first_indexed 2020-03-13T13:41:06Z
last_indexed 2021-01-07T04:17:01Z
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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
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score 11.037603

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