1 / 22

An integrated EWS for predicting currency vulnerabilities in CEE countries Emanuel Florin Irimin

An integrated EWS for predicting currency vulnerabilities in CEE countries Emanuel Florin Irimin. RON/EUR evolution. Objective. to construct a flexible short term warning system capable of identifying vulnerabilities that may trigger exchange market pressure on local currencies

bliss
Download Presentation

An integrated EWS for predicting currency vulnerabilities in CEE countries Emanuel Florin Irimin

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. An integrated EWS for predicting currency vulnerabilities in CEE countries Emanuel Florin Irimin

  2. RON/EUR evolution

  3. Objective • to construct a flexible short term warning system capable of identifying vulnerabilities that may trigger exchange market pressure on local currencies • to analyze the events of the past months from the perspective of the major pressure Eastern Europe’s currencies were confronted with

  4. Currency crises literature

  5. Currency crises definition Formula EMP:

  6. Exchange rate regimes

  7. Crisis

  8. The models • KLR • LOGIT • ANN

  9. Data used

  10. Data used

  11. Indicators` effectiveness matrix

  12. KLR Results – in sample

  13. KLR Results – out of sample

  14. Logit results

  15. Out-of sample results for raw data

  16. Out-of sample results for binary data

  17. The Logit model

  18. Hidden layers Output ANN architecture

  19. ANN architecture

  20. ANN out of sample performance

  21. Comparative performance Crisis within a three months period Crisis within a month

  22. The complex EWS

More Related