Trong chương này, chúng tôi áp dụng phương pháp tiếp cận tín hiệu đến một số mẫu bài tập bằng cách sử dụng các dữ liệu cho tháng 1 năm 1996 thông qua tháng 6 năm 1997. Bên cạnh việc cung cấp một đánh giá về hiệu suất của mẫu của mô hình, bài tập này | Table Composite indicator and conditional probabilities of financial crises Value of indicator Probability of a currency crisis Probability of a banking crisis 0-1 1-2 2-3 3-4 4-5 5-7 7-9 9-12 12-15 Over 15 . Memorandum Unconditional Unconditional probability of a probability of a currency crisis banking crisis . not applicable Source Kaminsky 1998 . the observed realizations as measured by a dummy variable that takes on a value of one when there is a crisis and zero QpS 1 T É 2 pk - Rty f 1 where k 1 2 3 refers to the indicator Pk refers to the probability associated with that indicator and Rt refers to the zero-one realizations. The QPS ranges from zero to two with a score of zero corresponding to perfect accuracy. Empirical Results Table reports the conditional probabilities of both currency and banking crises using the composite indicator. One column reports the likelihood of currency crises. When almost none of the indicators are signaling a future crisis the composite indicator takes on values between zero and two and the probability of a currency crisis is only about 10 percent. The probability of a currency crisis increases sharply and nonlinearly as signs 2. This approach has also been used to assess the ability of various indicators to anticipate turning points in the business cycle Diebold and Rudebusch 1989 . 66 ASSESSING FINANCIAL VULNERABILITY Institute for International Economics http Table Scoring the forecasts quadratic probability scores Indicator Currency crises Banking crises Tranquil times Crisis times Tranquil times Crisis times Naive forecast Real exchange rate Composite indicator Source Kaminsky 1998 . of vulnerability in the economy increase. Specifically the probability of a currency crisis reaches almost 100 percent .
