Performance of the Macroeconomic Imbalance Procedure in light of historical experience in the CEE region

Figures & data

Table

	Crisis event	No crisis event
EWI prediction	A	B
No EWI prediction	C	D

Table 1. (a) MIP labour market indicators – official and optimal threshold characteristics, (b) MIP external imbalances indicators – official and optimal threshold characteristics, (c) MIP indebtedness-related indicators – official and optimal threshold characteristics, and (d) MIP other indicators – official and optimal threshold characteristics.

			Auxiliary Indicator	#	Probability of event (%)	Official threshold			AUROC	Optimal threshold				Time horizon
						Value	Implied Preferences	Max Absolute Utility		Value	Implied Preferences	Max Absolute Utility	Inverse aNtS	Lag/Interval	AUROC
(a)
Youth UR		NO		287	16.72	2.00	0.777	−0.052	0.377	0.62	0.833	−0.021	0.723	3/3	0.526
Sensitivity interval	−10%						0.816	−0.034	0.377	0.56	0.833	−0.021	0.723
	+10%						0.777	−0.051	0.380	0.68	0.833	−0.021	0.723
Long-term UR		NO		155	20.65	0.50	0.729	−0.046	0.442	0.41	0.794	−0.014	0.835	2/3	0.518
Sensitivity interval	−10%						0.642	−0.090	0.442	0.37	0.794	−0.014	0.835
	+10%						0.729	−0.046	0.449	0.45	0.794	−0.014	0.835
UR		NO		229	18.78	10.00	0.803	−0.048	0.365	6.40	0.813	−0.001	0.992	3/3	0.503
Sensitivity interval	−10%						0.809	−0.039	0.363	5.80	0.813	−0.001	0.992
	+10%						0.803	−0.046	0.364	7.10	0.813	−0.001	0.992
Activity rate		NO		295	16.61	−0.20	0.810	−0.009	0.503	−0.20	0.834	0.003	1.053	2/3	0.553
Sensitivity interval	−10%						0.810	−0.008	0.502	−0.18	0.834	0.003	1.053
	+10%						0.810	−0.009	0.507	−0.22	0.834	0.003	1.053
Employment		YES		302	16.56	NA	NA	NA	0.338	−5.34	0.834	−0.004	0.447	3/3	0.477
Sensitivity interval	−10%						NA	NA	0.339	−5.94	0.834	0.000	1.117
	+10%						NA	NA	0.338	−5.88	0.834	−0.004	0.447
Participation Rate		YES		302	16.56	NA	NA	NA	0.439	58.05	0.835	0.001	1.017	3/1	0.464
Sensitivity interval	−10%						NA	NA	0.441	52.20	0.835	0.001	1.017
	+10%						NA	NA	0.440	71.10	0.835	0.002	1.013
YNEET		YES		204	19.12	NA	NA	NA	0.392	25.65	0.788	0.012	3.362	3/3	0.588
Sensitivity interval	−10%						NA	NA	0.393	23.10	0.788	0.012	3.362
	+10%						NA	NA	0.391	28.20	0.788	0.012	3.362
(b)
NULC		NO		196	18.88	12.00	0.864	−0.065	0.363	26.37	0.811	−0.017	0.337	3/3	0.533
Sensitivity interval	−10%						0.837	−0.045	0.360	24.39	0.811	−0.015	0.355
	+10%						0.864	−0.067	0.360	20.79	0.811	−0.017	0.499
Terms of trade		YES		112	23.21	NA	NA	NA	0.520	−3.90	0.768	0.017	1.470	1/1	0.548
Sensitivity interval	−10%						NA	NA	0.520	−3.50	0.750	0.013	1.470
	+10%						NA	NA	0.519	−4.30	0.750	0.013	1.470
REER		NO	+	161	18.01	11.00	0.821	0.022	0.600	8.85	0.820	0.027	1.454	1/1	0.638
Sensitivity interval	−10%						0.821	0.023	0.601	7.95	0.820	0.027	1.454
	+10%						0.821	0.024	0.598	9.70	0.820	0.027	1.454
			−	161	18.01	−11.00	0.846	−0.021	0.472	−10.45	0.819	0.006	2.985	3/3	0.556
Sensitivity interval	−10%						0.850	−0.025	0.472	−9.40	0.800	0.006	2.985
	+10%						0.850	−0.026	0.472	−11.50	0.800	0.006	2.985
EMS		NO		251	16.33	−6.00	0.929	0.002	0.697	−17.94	0.837	0.052	1.999	1/3	0.707
Sensitivity interval	−10%						0.950	−0.005	0.709	−17.34	0.850	0.048	2.163
	+10%						0.950	−0.005	0.691	−17.64	0.850	0.044	1.916
CA balance		NO	+	263	17.11	6.00	NA	NA	0.489	0.96	0.828	0.001	1.481	2/3	0.500
Sensitivity interval	−10%						NA	NA	0.489	0.84	0.828	0.001	1.481
	+10%						NA	NA	0.489	1.08	0.828	0.001	1.481
			−	263	17.11	−4.00	0.855	−0.005	0.562	−7.44	0.829	0.021	1.646	1/1	0.593
Sensitivity interval	−10%						0.850	−0.005	0.561	−8.68	0.800	0.015	2.105
	+10%						0.900	−0.016	0.563	−10.64	0.800	0.015	2.105
CA and CAP balance		YES		253	17.79	NA	NA	NA	0.643	−6.84	0.822	0.038	2.267	1/1	0.678
Sensitivity interval	−10%						NA	NA	0.642	−6.16	0.800	0.032	2.267
	+10%						NA	NA	0.642	−7.52	0.800	0.032	2.267
Productivity		YES		302	16.56	NA	NA	NA	0.433	−5.76	0.834	−0.004	0.701	1/1	0.492
Sensitivity interval	−10%						NA	NA	0.433	−5.46	0.834	−0.003	0.744
	+10%						NA	NA	0.433	−6.00	0.834	−0.005	0.627
(c)
FDI flows		YES		301	16.28	NA	NA	NA	0.584	5.60	0.837	0.019	1.516	1/1	0.611
Sensitivity interval	−10%						NA	NA	0.584	5.05	0.837	0.019	1.516
	+10%						NA	NA	0.583	6.15	0.837	0.019	1.487
FDI stocks		YES		204	19.12	NA	NA	NA	0.444	29.20	0.809	0.002	1.023	3/3	0.506
Sensitivity interval	−10%						NA	NA	0.444	26.40	0.809	0.002	1.023
	+10%						NA	NA	0.443	32.00	0.809	0.002	1.023
Net IIR		NO		204	19.12	−35.00	0.824	−0.020	0.459	−70.70	0.809	0.007	1.260	1/1	0.589
Sensitivity interval	−10%						0.824	−0.020	0.460	−63.70	0.809	0.007	1.260
	+10%						0.850	−0.022	0.460	−77.70	0.800	0.005	1.260
Gross external debt		YES		98	11.22	NA	NA	NA	0.504	26.80	0.888	0.022	1.323	2/3	0.535
Sensitivity interval	−10%						NA	NA	0.504	24.00	0.888	0.022	1.323
	+10%						NA	NA	0.505	29.60	0.888	0.022	1.323
Public sector debt		NO		118	20.34	60.00	0.000	−0.153	0.466	19.80	0.797	0.018	1.183	3/3	0.650
Sensitivity interval	−10%						0.000	−0.109	0.468	17.40	0.797	0.018	1.183
	+10%						0.769	−0.018	0.467	21.60	0.797	0.018	1.183
Private sector debt		NO		297	15.82	133.00	NA	NA	0.536	33.25	0.842	0.014	1.198	1/1	0.549
Sensitivity interval	−10%						NA	NA	0.536	29.26	0.842	0.013	1.177
	+10%						NA	NA	0.537	30.59	0.842	0.014	1.174
HPI		NO		70	24.29	6.00	0.589	0.052	0.752	5.82	0.757	0.085	6.545	2/3	0.864
Sensitivity interval	−10%						0.589	0.052	0.753	5.28	0.757	0.085	6.545
	+10%						0.589	0.046	0.752	6.42	0.757	0.085	6.545
(d)
Poverty		YES		204	19.12	NA	NA	NA	0.441	9.80	0.799	0.002	1.017	3/2	0.470
Sensitivity interval	−10%						NA	NA	0.439	6.20	0.799	0.002	1.013
	+10%						NA	NA	0.441	10.80	0.799	0.002	1.017
GFCF		YES		308	15.91	NA	NA	NA	0.342	11.60	0.840	0.002	2.341	3/3	0.545
Sensitivity interval	−10%						NA	NA	0.342	10.40	0.800	0.001	2.341
	+10%						NA	NA	0.342	12.80	0.800	0.001	2.341
RaD		YES		230	18.26	NA	NA	NA	0.481	1.43	0.818	0.009	1.065	2/3	0.504
Sensitivity interval	−10%						NA	NA	0.481	1.29	0.850	0.007	1.065
	+10%						NA	NA	0.482	1.57	0.850	0.007	1.065