ngân hàng có thể vẫn là một nhiệm vụ khó nắm bắt cho các học giả, người tham gia thị trường tài chính, và các nhà hoạch định chính sách. Sự kiện gần đây, tuy nhiên, đã nêu bật tầm quan trọng của việc cải thiện khi một hệ thống cảnh báo sớm. | 5 An Assessment of Vulnerability Out-of-Sample Results As emphasized in chapter 1 predicting the timing of currency and banking crises is likely to remain an elusive task for academics financial market participants and policymakers. Recent events however have highlighted the importance of improving upon a system of early warnings. In this chapter we apply the signals approach to several out-of-sample exercises using data for January 1996 through June 1997. Besides providing an assessment of the model s out-of-sample performance this exercise may shed light on why most analysts did not foresee the Asian crisis. In the first exercise we look at measures across countries of crisis vulnerability . total number of signals proportion of indicators signaling and the number of top indicators signaling . But this exercise does not weigh the signals according to the relative track record of the indicators issuing the signal or it only does so in a very approximate way. The second exercise extends the cross-country analysis by adjusting the threshold for each indicator so as to include more borderline signals in our measure of vulnerability. A third exercise weighs the indicators by the inverse of their noise-to-signal ratio to generate a series of crosscountry vulnerability ratings for both currency and banking crises. In yet a fourth exercise we construct a composite indicator to map the timevarying probability of crisis we compare its in- and out-of-sample performance to that of a naive forecast and the best of the univariate indicators. Finally our last exercise focuses on the time-series dimension by mapping out the probability of crises for four Asian countries over the January 1996-December 1997 period. Needless to say such exercises are fraught with the traditional Type I and Type II errors. Assume that the null hypothesis is that the economy 55 Institute for International Economics http is in a state of tranquility. If a high proportion of indicators .
