NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by George Saravelos

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June 2010Are Leading Indicators of Financial Crises Useful for Assessing Country Vulnerability? Evidence from the 2008-09 Global Crisis
with Jeffrey A. Frankel: w16047
This paper investigates whether leading indicators can help explain the cross-country incidence of the 2008-09 financial crisis. Rather than looking for indicators with specific relevance to the current crisis, the selection of variables is driven by an extensive review of more than eighty papers from the previous literature on early warning indicators. The review suggests that central bank reserves and past movements in the real exchange rate are the two leading indicators that have proven the most useful in explaining crisis incidence across different countries and crises in the past. For the 2008-09 crisis, we use six different variables to measure crisis incidence: drops in GDP and industrial production, currency depreciation, stock market performance, reserve losses, or participation ...

Published: “Are Leading Indicators of Financial Crises Useful for Assessing Country Vulnerability? Evidence from the 2008 - 09 Global C ris is,” with George Saravelos, Journal of International Economics 87 , no.2, July 2012 : pp. 216 - 2 31. HKS RWP 11 - 024. NBER WP 16047 .

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