có thể làm sáng tỏ lý do tại sao hầu hết các nhà phân tích đã không lường trước được cuộc khủng hoảng châu Á. Trong bài tập đầu tiên, chúng ta nhìn vào các biện pháp giữa các quốc gia dễ bị tổn thương khủng hoảng (ví dụ, tổng số tín hiệu, tỷ lệ các chỉ tiêu báo hiệu, | knowing there is a crisis elsewhere in that particular cluster and the unconditional probability of crisis. Hence the four clusters bilateral trade third-party trade common bank lender and high correlations play the same role as the If a country shares a common cluster with the initial crisis country it is a signal if a crisis occurs in the second country within the following 24 months it is a good signal if a crisis does not occur it is a false alarm. Hence for these possible linkages the number of signals could range from zero no common clusters to four in which the country shares all four clusters with the initial crisis country. As when we weighted individual indicators a good argument can be made for eliminating potential leading indicators that had a noise-to-signal ratio above unity that is those whose marginal forecasting ability is zero or less . Applying this criterion to our results we would focus on the case in which more than 50 percent of the countries that share a common cluster are experiencing a crisis. As shown in table the highest noise-to-signal ratio is well below unity but the track record of the signals in each of the clusters is far from uniform. Thus we weight the signals by the inverse of the noise-to-signal ratios reported in table see Kaminsky and Reinhart 2000 for details . Formally as we did in chapter 5 for the macroeconomic fundamentals we construct the following composite indicator n It ỵ S V j 1 In equation it is assumed that there are n indicators . clusters . Each cluster has a differentiated ability to forecast crises and as before this ability can be summarized by the noise-to-signal ratio here denoted by w . S t is a dummy variable that is equal to one if the univariate indicator S crosses its critical threshold and is thus signaling a crisis and is zero otherwise. As before the noise-to-signal ratio is calculated under the 4. The countries are classified by bank clusters according to which
