Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/14674
Title: Early warning systems for sovereign debt crises: The role of heterogeneity
Authors: Fuertes, Ana Maria 
Kalotychou, Elena 
metadata.dc.contributor.other: Καλοτύχου, Έλενα
Major Field of Science: Social Sciences
Field Category: Economics and Business
Keywords: Credit risk;Benchmarking;Default probability;Loss functions;Predictive performance;Emerging markets
Issue Date: 15-Nov-2006
Source: Computational Statistics and Data Analysis, 2006, vol. 51, no. 2, pp. 1420-1441
Volume: 51
Issue: 2
Start page: 1420
End page: 1441
Journal: Computational Statistics and Data Analysis 
Abstract: Sovereign default models that differ in their treatment of unobservable country, regional and time heterogeneities are systematically compared. The analysis is based on annual data over the 1983-2002 period for 96 developing economies. Inference-based criteria and parameter plausibility overwhelmingly favour more complex models that allow the link between the probability response and the fundamentals to vary over time and across countries. However, out-of-sample forecast evaluation using several loss functions and equal-predictive-ability tests suggests that simplicity beats complexity. Parsimonious pooled logit models produce the most accurate sovereign default forecasts and outperform the naive benchmarks.
URI: https://hdl.handle.net/20.500.14279/14674
ISSN: 01679473
DOI: 10.1016/j.csda.2006.08.023
Rights: © Elsevier
Attribution-NonCommercial-NoDerivs 3.0 United States
Type: Article
Affiliation : City University London 
Publication Type: Peer Reviewed
Appears in Collections:Άρθρα/Articles

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