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Periodical article Periodical article Leiden University catalogue Leiden University catalogue WorldCat catalogue WorldCat
Title:Forecasting currency crises: which methods signaled the South African crisis of June 2006?
Authors:Knedlik, TobiasISNI
Scheufele, RolfISNI
Periodical:South African Journal of Economics
Geographic term:South Africa
economic models
External link:https://onlinelibrary.wiley.com/doi/10.1111/j.1813-6982.2008.00206.x/pdf
Abstract:The authors test the ability of three of the most popular methods to forecast South African currency crises with a special emphasis on their out-of-sample performance. They choose the latest crisis of June 2006 to conduct an out-of-sample experiment. The results show that the signals approach was not able to forecast the out-of-sample crisis correctly; the probit approach was able to predict the crisis but only with models, that were based on raw data. The Markov-regime-switching approach predicts the out-of-sample crisis well. However, the results are not straightforward. In-sample, the probit models performed remarkably well and were also able to detect, at least to some extent, out-of-sample currency crises before their occurrence. The recommendation is to not restrict the forecasting to only one approach. Bibliogr., notes, ref., sum. [Journal abstract]