It is patently obvious that periodic balance-of-payments crises will remain an integral feature
of the international economic system as long as fixed exchange rates and rigid wage and …

This paper develops a new early warning system (EWS) model, based on a multinomial logit
model, for predicting financial crises. It is shown that commonly used EWS approaches …

This paper studies how financial stress, defined as periods of impaired financial
intermediation, is transmitted from advanced to emerging economies using a new financial …

Since 1999, IMF staff have been tracking several early warning system (EWS) models of
currency crisis. The results have been mixed. One of the long-horizon models has performed …

This paper aims to identify the main determinants of sovereign bond spreads in seven Latin
American countries and verify the existence of contagion effect over these markets during …

We revisit the association between fundamentals and exchange rates in emerging markets
relying on the role of the Economic Policy Uncertainty (EPU) in explaining/forecasting …

We model the interrelations of equity market volatility in eight East Asian countries before,
during, and after the Asian currency crisis. Using a new class of asymmetric volatility …

This paper proposes an original and unified toolbox to evaluate financial crisis early-
warning systems (EWS). It presents four main advantages. First, it is a model free method …

Abstract Traditionally, financial crisis Early Warning Systems (EWSs) have relied on
macroeconomic leading indicators when forecasting the occurrence of such events. This …

This study examines financial contagion effects in African stock markets during major crises
over the period 2005 to 2020. We investigate contagion effects in individual stock markets …