Nonparametric EWS Models of Currency and Banking Crises for East Asia

Abstract

This chapter presents two early warning system (EWS) models, one for currency crises, the other for banking crises. The two models follow the signaling approach pioneered by Kaminsky and Reinhart (1999). They are estimated using monthly data of six East Asian countries—Indonesia, Republic of Korea (Korea), Malaysia, Philippines, Singapore, and Thailand—and, therefore, may be considered “regional models.” In contrast, empirical EWS models reported in existing studies were often estimated using data of 20–30 countries, including both developed and developing countries, and thus can be considered “global models.”KeywordsGross Domestic ProductReal Exchange RateComposite IndexCurrency CrisisBanking CrisisThese keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.