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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