Leading indicators of sovereign debt crisis

J. DANIEL AROMÍ

CABA

Jornada; Jornadas Argentinas de Econometría; 2016

Forecasting models of sovereign debt crisis are estimated. The set of predictors includes indicators of wealth, solvency, liquidity, real exchange rate levels and macroeconomic performance. Moving beyond short term prediction, the analyses consider multiple prediction horizons. The evidence suggests that the information content of these indicators changes with the prediction horizon. These results are relevant for the construction of warning systems that aim at the early detection of vulnerabilities.