<abstract xmlns="http://www.w3.org/1999/xhtml">

<bold>Aim/purpose</bold> – This paper investigates the accuracy of leading indicators in the case of the 2001 sovereign default crisis and the 2018 currency turmoil in Argentina.
<bold>Design/methodology/approach</bold> – In this paper, we conducted early warning signals analysis based on a-priori selected variables. For each of the macroeconomic variables, we computed yearly changes and selected the threshold to minimise the noise-to-signal ratio, i.e. the ratio of percentage of false signals in ‘normal’ times to percentage of good signals in a two-year period preceding each of the crises.
<bold>Findings</bold> – The predictive power of indicators differs significantly in various crisis episodes. For the 2001 crisis, the decline in value of bank deposits was the best leading indicator based on the noise-to-signal ratio. For the 2018 currency crisis, the lowest noise-to-signal ratio was observed for the lending-deposit rate ratio.
<bold>Research implications/limitations</bold> – The survey is limited mostly by the data availability and their quality.
<bold>Originality/value/contribution</bold> – This paper gives a complex review of the major early warning indicators in the context of the most recent history of Argentina’s economy. It applies a set of classical leading indicators to two modern cases of financial crises. The paper proposes an original ‘knocking the window’ approach to the presentation of traditional warning concepts in the context of current economic events.
</abstract>

Aim/purpose – This paper investigates the accuracy of leading indicators in the case of the 2001 sovereign default crisis and the 2018 currency turmoil in Argentina.
Design/methodology/approach – In this paper, we conducted early warning signals analysis based on a-priori selected variables. For each of the macroeconomic variables, we computed yearly changes and selected the threshold to minimise the noise-to-signal ratio, i.e. the ratio of percentage of false signals in ‘normal’ times to percentage of good signals in a two-year period preceding each of the crises.
Findings – The predictive power of indicators differs significantly in various crisis episodes. For the 2001 crisis, the decline in value of bank deposits was the best leading indicator based on the noise-to-signal ratio. For the 2018 currency crisis, the lowest noise-to-signal ratio was observed for the lending-deposit rate ratio.
Research implications/limitations – The survey is limited mostly by the data availability and their quality.
Originality/value/contribution – This paper gives a complex review of the major early warning indicators in the context of the most recent history of Argentina’s economy. It applies a set of classical leading indicators to two modern cases of financial crises. The paper proposes an original ‘knocking the window’ approach to the presentation of traditional warning concepts in the context of current economic events.

Leading indicators of sovereign debt and currency crises: Comparative analysis of 2001 and 2018 shocks in Argentina

Journal of Economics and Management

This work is licensed under the Creative Commons Attribution-NonCommercial 4.0 International License.

Aim/purpose – This paper investigates the accuracy of leading indicators in the case of the 2001 sovereign default crisis and the 2018 currency turmoil in...

Leading indicators of sovereign debt and currency crises: Comparative analysis of 2001 and 2018 shocks in Argentina

Publié en ligne: 23 juil. 2021

Pages: 20 - 47

Reçu: 06 févr. 2020

Accepté: 27 oct. 2020

DOI: https://doi.org/10.22367/jem.2020.42.02

Mots clés
Argentina, currency crisis, early warning signals, sovereign debt crisis

© 2020 Marcin Gruszczyński et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial 4.0 International License.

Leading indicators of sovereign debt and currency crises: Comparative analysis of 2001 and 2018 shocks in Argentina

Publié en ligne: 23 juil. 2021

Pages: 20 - 47

Reçu: 06 févr. 2020

Accepté: 27 oct. 2020

DOI: https://doi.org/10.22367/jem.2020.42.02

Mots clésArgentina, currency crisis, early warning signals, sovereign debt crisis

© 2020 Marcin Gruszczyński et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial 4.0 International License.

Mots clés
Argentina, currency crisis, early warning signals, sovereign debt crisis