1. Correlation Dynamics in East Asian Financial Markets. (2014). , Lestano ; Kuper, Gerard H.
   In: Research Report.
   RePEc:dgr:rugsom:14029-eef.

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1. • In Sy (2003) a debt crisis occurs when bond spreads are trading 1,000 basis points or more above U.S. Treasuries. The threshold is chosen as it is considered a psychological barrier for investors. The problem is that the data do not always fit this rigid definition: some Asian countries did not even exceed the threshold in the Asia crisis, while various Latin American countries exceed the threshold also in tranquil times. As an alternative, they take the 90th percentile, acknowledging that countries without debt problems will also be included.
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2. • Manasse, Roubini, and Schimmelpfennig (2003) not only consider as a debt crisis outright default, but also situations where default was avoided through the provision of large scale official financing by the This section is partially based on Pescatori and Sy (2007). IMF. They define a debt crisis if (i) Standard and Poor’s definition of a debt default, or (ii) if the country receives a large non-concessional IMF loan, defined as access in excess of 100 percent of quota.
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3. • Pescatori and Sy (2007) define debt crises as events occurring when either a country defaults or when its bond spreads are above a critical threshold. For the critical threshold they use a rate of 1,000 basis points, based on Extreme Value Theory and the Kernel Density estimation, with the 90th percentile of the fitted distribution.
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4. Aguiar, M. and G. Gopinath (2006), “Defaultable debt, interest rates and the current account”, Journal of International Economics, 69, 64–83.
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5. Aiolfi, M., L.A.V. Cat ao, and A. Timmermann (2011), “Common factors in Latin America’s business cycles”, Journal of Development Economics, 95, 212–228.
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6. Arellano, C. (2008), “Default risk and income fluctuations in emerging economies”, American Economic Review, 98, 690–712.
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7. Baker, S.G. and B.S. Kramer (2007), “Peirce, Youden, and receiver operating characteristic curves”, The American Statistician, 61(4), 343–346.
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8. Banking crises: Money Market Pressure Index Von Hagen and Ho (2007) develop a similar index, to capture banking crises. This Money Market Pressure Index (MMPI) is based on changes in the banking sector’s aggregate demand for central bank reserves and the short term interest rate: MMPIi t ≡ ∆rdi t σ∆rdi t + ∆si t σ∆si t
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9. Berge, T.J. and Ò. Jordà (2011), “Evaluating the classification of economic activity into recessions and expansions”, American Economic Journal: Macroeconomics, 3, 246–277.

10. Borensztein, E. and U. Panizza (2009), “The costs of sovereign default”, IMF Staff Paper 56, International Monetary Fund, Washington, DC.
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11. Calvo, G.A. (2003), “Explaining sudden stop, growth collapse, and BOP crisis: The case of distortionary output taxes”, IMF Staff Papers 50, International Monetary Fund, Washington, DC.
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12. Ciarlone, A. and G. Trebeschi (2005), “Designing an early warning system for debt crises”, Emerging Markets Review, 6, 376–395.

13. Das, U.S., M.G. Papaioannou and C. Trebesch (2012), “Sovereign debt restructurings 1950–2010: Literature survey, data, and stylized facts”, IMF Working Paper 203, International Monetary Fund, Washington, DC.

14. Eaton, J. and M. Gersovitz (1981), “Debt with potential repudiation: Theoretical and empirical analysis”, Review of Economic Studies, 48(2), 289– 309.

15. Eichengreen, B., A. K. Rose, and C. Wyplosz (1995), “Exchange rate mayhem: The antecedents and aftermath of speculative attacks”, Economic Policy, 21, 251–312.
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16. Furceri, D. and A. Zdzienicka (2012), “How costly are debt crises?”, Journal of International Money and Finance, 31, 726–742.

17. Girton, L. and D. Roper (1977), “A monetary model of exchange market pressure applied to the postwar Canadian experience”, American Economic Review, 4, 537–548.

18. Jordá, Ò. and A.M. Taylor (2009), “The carry trade and fundamentals: nothing to fear but FEER itself”, NBER Working Paper 15518, National Bureau of Economic Research, Washington, DC.

19. Kaminsky, G. L. and C. M. Reinhart (1999), “The twin crises: The causes of banking and balance-of-payments problems”, American Economic Review, 89, 473–500.

20. Krugman, P. (1996), “A country is not a company”, Harvard Business Review, 40–44, 48–50.
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21. Lestano and J.P.A.M. Jacobs (2007), “Dating currency crises with ad hoc and extreme value-based thresholds: East Asia 1970-2002”, International Journal of Finance and Economics, 12, 371–388.

22. Lobo, J.M., A. Jimenez-Valverde, and R. Real (2008), “AUC: a misleading measure of the performance of predictive distribution models”, Global Ecology and Biogeography, 17, 145–151.
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23. Manasse, P. and N. Roubini (2009), “Rules of thumb for sovereign debt crises”, Journal of International Economics, 78, 192–205.
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24. Manasse, P., N. Roubini, and A. Schimmelpfennig (2003), “Predicting sovereign debt crises”, IMF Working Paper 221, International Monetary Fund, Washington, DC.
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25. Minsky, Hyman P. (1992), “The financial instability hypothesis”, Hyman P. Minsky Archive 74, Levy Economics Institute of Bard College, New York.
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26. Minsky, Hyman P. Ph.D. (1986), “Stabilizing an unstable economy”, Hyman P. Minsky Archive 144, Levy Economics Institute of Bard College, New York.
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27. Ocampo, J.A. and J. Ros (2011), “Shifting paradigms in Latin America’s economic development”, in J.A. Ocampo and J. Ros, editors, Oxford Handbook of Latin American economics, Oxford Handbooks in Economics, Oxford University Press, Oxford, 1–23.

28. Pescatori, A. and A.N.R. Sy (2007), “Are debt crises adequately defined?”, IMF Staff Papers 54(2), International Monetary Fund, Washington DC.

29. Reinhart, C. M. and K. S. Rogoff (2009), This Time is Different: Eight Centuries of Financial Folly, Princeton University Press, Princeton and Oxford.

30. Reinhart, C. M. and K. S. Rogoff (2010), “From financial crash to debt crisis”, NBER Working Papers 15795, National Bureau of Economic Research, Cambridge, MA.

31. Sy, A.N.R. (2003), “Rating the rating agencies: Anticipating currency crises or debt crises?”, Working Papers 122, International Monetary Fund, Washington DC.

32. von Hagen, J. and T. Ho (2007), “Money market pressure and the determinants of banking crises”, Journal of Money, Credit and Banking, 39(5), 1037–1066.
    Paper not yet in RePEc: Add citation now
    

33. When the index exceeds a predetermined threshold (two standard deviations above the mean), then a crisis is identified. Kaminsky and Reinhart (1999) made an adjusted version, and later various variations emerged (for an overview see Lestano and Jacobs, 2007).

34. Youden, W.J. (1950), “Index for rating diagnostic tests.”, Cancer, 3, 32–35. A Debt crisis definitions6 • Moody’s defines a default when (i) a missed or delayed disbursement of interest and/or principal, even if the delayed payment is made within the grace period; or (ii) when the issuer offers a new security that leads to a diminished financial obligation (e.g. lower coupon or par value). • Standard and Poor’s rates sovereign issuers in default if a government fails to meet principal or interest payment on external obligation on due date, or when a rescheduling of principal and/or interest is at less favorable terms than the original obligation.
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1. Recession Prediction on the Clock. (2022). Mertens, Thomas.
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   RePEc:fip:fedfel:95426.

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2. Uncertainty and Forecasts of U.S. Recessions. (2017). Pierdzioch, Christian ; GUPTA, RANGAN.
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   RePEc:pre:wpaper:201732.

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3. Dating systemic financial stress episodes in the EU countries. (2017). Peltonen, Tuomas ; Klaus, Benjamin ; Duprey, Thibaut.
   In: Journal of Financial Stability.
   RePEc:eee:finsta:v:32:y:2017:i:c:p:30-56.

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4. The role of economic policy uncertainty in predicting U.S. recessions: A mixed-frequency Markov-switching vector autoregressive approach. (2016). GUPTA, RANGAN ; Balcilar, Mehmet ; Segnon, Mawuli.
   In: Economics - The Open-Access, Open-Assessment E-Journal (2007-2020).
   RePEc:zbw:ifweej:201627.

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5. Assessing the economic value of probabilistic forecasts in the presence of an inflation target. (2016). Wakerly, Elizabeth ; Vahey, Shaun ; Thamotheram, Craig ; McDonald, Chris.
   In: Reserve Bank of New Zealand Discussion Paper Series.
   RePEc:nzb:nzbdps:2016/10.

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6. Learning from history: volatility and financial crises. (2016). Danielsson, Jon ; Valenzuela, Marcela ; Zer, Ilknur.
   In: LSE Research Online Documents on Economics.
   RePEc:ehl:lserod:66046.

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7. Assessing the economic value of probabilistic forecasts in the presence of an inflation target. (2016). Wakerly, Elizabeth ; Vahey, Shaun ; Thamotheram, Craig ; McDonald, Christopher .
   In: CAMA Working Papers.
   RePEc:een:camaaa:2016-40.

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8. The risk of financial crises: Is there a role for income inequality?. (2016). Nyberg, Henri ; Malinen, Tuomas ; Kirschenmann, Karolin.
   In: Journal of International Money and Finance.
   RePEc:eee:jimfin:v:68:y:2016:i:c:p:161-180.

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9. What predicts US recessions?. (2016). Moench, Emanuel ; Liu, Weiling.
   In: International Journal of Forecasting.
   RePEc:eee:intfor:v:32:y:2016:i:4:p:1138-1150.

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10. Do asset price drops foreshadow recessions?. (2016). Terrones, Marco ; Bluedorn, John ; Decressin, Jorg.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:32:y:2016:i:2:p:518-526.

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11. Identification and real-time forecasting of Norwegian business cycles. (2016). Ravazzolo, Francesco ; Jore, Anne Sofie ; Aastveit, Knut Are.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:32:y:2016:i:2:p:283-292.

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12. A quantile-boosting approach to forecasting gold returns. (2016). Risse, Marian ; Pierdzioch, Christian ; Rohloff, Sebastian.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:35:y:2016:i:c:p:38-55.

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13. International sign predictability of stock returns: The role of the United States. (2016). Pönkä, Harri ; Nyberg, Henri ; Ponka, Harri.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:58:y:2016:i:c:p:323-338.

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14. Forecasting U.S. Recessions and Economic Activity. (2016). Stevanovic, Dalibor ; Kotchoni, Rachidi.
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15. Words are the new numbers: A newsy coincident index of business cycles. (2016). Thorsrud, Leif.
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16. Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia. (2016). Engsted, Tom ; Moller, Stig V ; Andreasen, Martin M ; Sander, Magnus.
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17. Were the Scandinavian Banking Crises Predictable? A Neural Network Approach. (2015). Ristolainen, Kim.
    In: Discussion Papers.
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18. Leading Indicators of the Business Cycle: Dynamic Logit Models for OECD Countries and Russia. (2015). Pestova, Anna.
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    RePEc:hig:wpaper:94/ec/2015.

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19. Predicting Recessions in Germany With Boosted Regression Trees. (2015). Pierdzioch, Christian ; Fritsche, Ulrich ; Döpke, Jörg ; Dopke, Jorg.
    In: Macroeconomics and Finance Series.
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20. Predicting Recessions With Boosted Regression Trees. (2015). Pierdzioch, Christian ; Fritsche, Ulrich ; Döpke, Jörg ; Dopke, Jorg.
    In: Working Papers.
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21. On the directional accuracy of forecasts of emerging market exchange rates. (2015). Pierdzioch, Christian ; Rulke, Jan-Christoph.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:38:y:2015:i:c:p:369-376.

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22. A contribution to the chronology of turning points in global economic activity (1980–2012). (2015). Martínez García, Enrique ; Grossman, Valerie ; Martinez-Garcia, Enrique ; Mack, Adrienne.
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:46:y:2015:i:c:p:170-185.

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23. Identifying banking crises using money market pressure: New evidence for a large set of countries. (2015). Jacobs, Jan ; de Haan, Jakob ; Jing, Zhongbo ; Yang, Haizhen.
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:43:y:2015:i:c:p:1-20.

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24. A further analysis of the conference board’s new Leading Economic Index. (2015). Lahiri, Kajal ; Yang, Liu.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:31:y:2015:i:2:p:446-453.

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25. Monitoring the world business cycle. (2015). Martinez-Martin, Jaime ; Camacho, Maximo.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:51:y:2015:i:c:p:617-625.

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26. A Non-linear Forecast Combination Procedure for Binary Outcomes. (2015). Lahiri, Kajal ; Yang, Liu.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_5175.

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27. Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data. (2015). Leiva-Leon, Danilo ; Guérin, Pierre.
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28. The Role of Credit in Predicting US Recessions. (2015). Pönkä, Harri.
    In: CREATES Research Papers.
    RePEc:aah:create:2015-48.

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29. International Sign Predictability of Stock Returns: The Role of the United States. (2015). Pönkä, Harri ; Nyberg, Henri.
    In: CREATES Research Papers.
    RePEc:aah:create:2015-20.

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30. On the Directional Accuracy of Inflation Forecasts: Evidence from South African Survey Data. (2014). Reid, Monique ; Pierdzioch, Christian ; GUPTA, RANGAN.
    In: Working Papers.
    RePEc:sza:wpaper:wpapers229.

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31. The risk of financial crises: Is it in real or financial factors?. (2014). Nyberg, Henri ; Malinen, Tuomas ; Kirschenmann, Karolin.
    In: Working Papers.
    RePEc:inq:inqwps:ecineq2014-336.

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32. What predicts U.S. recessions?. (2014). Moench, Emanuel ; Liu, Weiling.
    In: Staff Reports.
    RePEc:fip:fednsr:691.

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33. A contribution to the chronology of turning points in global economic activity (1980-2012). (2014). Martínez García, Enrique ; Grossman, Valerie ; Martinez-Garcia, Enrique ; Mack, Adrienne.
    In: Globalization Institute Working Papers.
    RePEc:fip:feddgw:169.

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34. Evaluating early warning indicators of banking crises: Satisfying policy requirements. (2014). Juselius, John ; Drehmann, Mathias.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:30:y:2014:i:3:p:759-780.

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35. Policy Implications for the Application of Countercyclical Capital Buffers When the Government Borrowing Crowds Out Private Sector Credit: The Case of Jamaica. (2014). McFarlane, Lavern ; Langrin, Brian R.
    In: Monetaria.
    RePEc:cml:moneta:v:ii:y:2014:i:2:p:285-312.

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36. Bubbles and crises: The role of house prices and credit. (2014). Kragh-Sørensen, Kasper ; Anundsen, Andre ; Kragh-Sorensen, Kasper ; Gerdrup, Karsten ; Hansen, Frank.
    In: Working Paper.
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37. The credit-to-GDP gap and countercyclical capital buffers: questions and answers. (2014). Tsatsaronis, Kostas ; Drehmann, Mathias.
    In: BIS Quarterly Review.
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38. A chronology of turning points in economic activity: Spain, 1850–2011. (2013). Jorda, Oscar ; Berge, Travis.
    In: SERIEs: Journal of the Spanish Economic Association.
    RePEc:spr:series:v:4:y:2013:i:1:p:1-34.

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39. Confidence Bands for ROC Curves with Serially Dependent Data. (2013). Lahiri, Kajal ; Yang, Liu.
    In: Discussion Papers.
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40. Do Asset Price Drops Foreshadow Recessions?. (2013). Terrones, Marco ; Bluedorn, John ; Decressin, Jorg.
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41. The Growth Comeback in Developing Economies: A New Hope or Back to the Future?. (2013). Bluedorn, John ; Duttagupta, Rupa ; Mwase, Nkunde ; Guajardo, Jaime.
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42. Evaluating probability forecasts for GDP declines using alternative methodologies. (2013). Lahiri, Kajal ; Wang, George J..
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43. Forecasting Binary Outcomes. (2013). Yang, Liu ; Lahiri, Kajal.
    In: Handbook of Economic Forecasting.
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44. Identifying Banking Crises Using Money Market Pressure: New Evidence For a Large Set of Countries. (2013). Jing, Zhongbo ; de Haan, Jakob ; Yang, Haizhen.
    In: Working Papers.
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45. Identifying Banking Crises Using Money Market Pressure: New Evidence For A Large Set of Countries. (2013). Jacobs, Jan ; de Haan, Jakob ; Jing, Zhongbo ; Jan P. A. M. Jacobs, ; Yang, Haizhen.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2013s-41.

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46. Evaluating early warning indicators of banking crises: Satisfying policy requirements. (2013). Drehmann, Mathias ; Juselius, Mikael.
    In: BIS Working Papers.
    RePEc:bis:biswps:421.

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47. Türkiyede Aşırı Kredi Genişlemeleri ve Belirleyicileri. (2012). Binici, Mahir ; Koksal, Bulent .
    In: MPRA Paper.
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48. Those Unpredictable Recessions. (2011). Smirnov, Sergey.
    In: HSE Working papers.
    RePEc:hig:wpaper:02/ec/2011.

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49. A chronology of turning points in economic activity: Spain, 1850-2011. (2011). Jorda, Oscar ; Berge, Travis.
    In: Research Working Paper.
    RePEc:fip:fedkrw:rwp11-14.

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50. A chronology of turning points in economic activity: Spain 1850-2011. (2011). Jorda, Oscar ; Berge, Travis.
    In: Working Paper Series.
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