A cautious note on the use of panel models to predict financial crises |
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| Authors: | Jeroen van den Berg Bertrand Candelon Jean-Pierre Urbain |
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| Institution: | aDepartment of Economics, Universiteit Maastricht, The Netherlands;bDepartment of Quantitative Economics, Universiteit Maastricht, The Netherlands |
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| Abstract: | Panel data framework has often been used to build Early Warning Systems for financial crises. This paper questions the implicit assumption that crises are homogenously caused by identical factors. It suggests a preliminary step aiming at forming optimal country clusters. |
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| Keywords: | F37 C33 |
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