Appendix A: The crisis predictive model
The crisis predictive model is based on the model developed in Luis A.V. Catao and Gian Maria Milesi-Ferretti, External Liabilities and Crisis, IMF Working Paper, May 2013. The paper builds on two decades of work in developing crisis prediction frameworks.
The crisis countries included in the analysis are given in Table A.1. The data for the model estimated is either taken from the database the authors made available or obtained directly from their sources.
The estimated predict equation was:
CRISES = -1.422 – 1.111.PAR – 4.946.FXR
` (2.7) (1.3) (3.9)
– 7.260.CURAC – 0.233.PPPR
` (3.9) (1.5)
+ 0.0339.VIX – 2.686.NGDPPC
` (2.3) (4.0)
– 0.489.GDR – 0.436.GFAR
` (3.2) (2.22)
Number of observations: 1,565
Fraction of current predictions: 0.974
Where:
PAR = Net portfolio of foreign equity investment as per cent of GDP.
FXR = Foreign exchange revenues as a per cent of GDP.
CURAC = Current account balance as a per cent of GDP.
PPPR = Ratio of actual market exchange rate to $US to purchasing power parity (PPP) rate.
VIX = World financial volatility index.
NGDPPC = Nominal GDP per capita in $US to United States nominal GDP per capita.
GDR = Gross internal debt as a per cent of GDP.
GFAR = Gross international debt asset as a per cent of GDP measured as a negative.
The probability of crisis was obtained on the assumption that the distribution of predictors from the estimated equation follows a normal distribution pattern.
| Table A.1 Crisis countries and dates | |||
| Country | Year | Country | Year |
| Argentina | 1982 | Latvia | 2008 |
| Argentina | 1995 | Malaysia | 1998 |
| Argentina | 2001 | Mexico | 1982 |
| Belize | 2006 | Mexico | 1995 |
| Brazil | 1983 | Morocco | 1981 |
| Brazil | 1999 | Pakistan | 1981 |
| Brazil | 2001 | Pakistan | 1998 |
| Chile | 1972 | Pakistan | 2008 |
| Chile | 1983 | Panama | 1983 |
| Costa Rica | 1981 | Peru | 1978 |
| Dominican Republic | 1982 | Peru | 1982 |
| Dominican Republic | 2003 | Philippines | 1976 |
| Dominican Republic | 2009 | Philippines | 1983 |
| Ecuador | 1983 | Poland | 1981 |
| Ecuador | 1999 | Portugal | 1977 |
| Ecuador | 2008 | Portugal | 2011 |
| Egypt | 1984 | Romania | 2009 |
| Greece | 2010 | Serbia | 2009 |
| Hungary | 2008 | South Africa | 1985 |
| Iceland | 1976 | Thailand | 1981 |
| Iceland | 2009 | Thailand | 1985 |
| India | 1984 | Thailand | 1997 |
| Indonesia | 1998 | Turkey | 1976 |
| Israel | 1976 | Turkey | 2000 |
| Italy | 1975 | Turkey | 2008 |
| Jamaica | 1978 | Ukraine | 1998 |
| Jamaica | 2010 | Ukraine | 2008 |
| Jordan | 1989 | Uruguay | 1983 |
| Jordan | 1997 | Uruguay | 2002 |
| Jordan | 2002 | Venezuela | 1983 |
| Korea | 1975 | ||
| Korea | 1980 | ||
| Korea | 1997 | ||
