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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

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

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  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

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