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Análisis económico
versão On-line ISSN 2448-6655versão impressa ISSN 0185-3937
Resumo
VALDES IGLESIAS, Edson. The role of early warnings in identifying currency crises in Mexico 1996-2022. Anál. econ. [online]. 2023, vol.38, n.97, pp.39-56. Epub 07-Fev-2023. ISSN 2448-6655. https://doi.org/10.24275/uam/azc/dcsh/ae/2022v38n97/valdes.
The main objective of this work is to examine the role of early warning systems to find currency crises in Mexico during the period 1996-2022. This is calculated by the index of speculative pressures (ISP) developed in the 90`s to predict disruptions that went through different developing countries. A Markov regime shift model and support vector machines (SVM) are used to capture the dynamics of the ISP. The results obtained suggests that supervised learning models has better a performance than regime change models as the early warning system, since SVM models can capture the signals sent by different macroeconomic variables, that can be used as guidelines to be take response to these events.
Palavras-chave : Currency crisis; exchange rate; speculative pressures; Markov‑Switching; Support Vector Machine (SVM).