Modelling Currency Crises in Emerging Markets: A Dynamic Probit Model with Unobserved Heterogeneity and Autocorrelated Errors
AbstractThe paper investigates the causes of currency crises in emerging markets. We estimate the probability of a currency crisis by applying maximum smoothly simulated likelihood to a dynamic LDV model. This approach allows us to take explicit account of the existence of intertemporal links between crises. The results show that currency crises are influenced by real, monetary, debt and global variables. Past banking crises are significant determinants of the probability of currency crises. Moreover, countries that sharply devalued in the past are less prone to experience another currency crisis. We find evidence of unobserved heterogeneity, which may reflect differences in the countries' institutional/historical background. Finally, the determinants of currency crises differ by type of exchange rate regime. Copyright 2006 Blackwell Publishing Ltd.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics and Statistics.
Volume (Year): 68 (2006)
Issue (Month): 4 (08)
Contact details of provider:
Postal: Manor Rd. Building, Oxford, OX1 3UQ
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0305-9049
More information through EDIRC
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Martin Burda & Roman Liesenfeld & Jean-Francois Richard, 2008. "Bayesian Analysis of a Probit Panel Data Model with Unobserved Individual Heterogeneity and Autocorrelated Errors," Working Papers tecipa-321, University of Toronto, Department of Economics.
- Aßmann, Christian, 2011. "Assessing the effect of current account and currency crises on economic growth," BERG Working Paper Series 80, Bamberg University, Bamberg Economic Research Group.
- Moura, Guilherme V. & Richard, Jean-François & Liesenfeld, Roman, 2007.
"Dynamic Panel Probit Models for Current Account Reversals and their Efficient Estimation,"
Economics Working Papers
2007,11, Christian-Albrechts-University of Kiel, Department of Economics.
- Guilherme Valle Moura & Roman Liesenfeld & Jean-Francois Richard, 2008. "Dynamic Panel Probit Models for Current Account Reversals and their Efficient Estimation," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting] 200807141048250, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Liesenfeld, Roman & Moura, Guilherme V. & Richard, Jean-François, 2009.
"Determinants and dynamics of current account reversals: an empirical analysis,"
Economics Working Papers
2009,04, Christian-Albrechts-University of Kiel, Department of Economics.
- Roman Liesenfeld & Guilherme Valle Moura & Jean-François Richard, 2010. "Determinants and Dynamics of Current Account Reversals: An Empirical Analysis," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(4), pages 486-517, 08.
- Bijsterbosch, Martin & Dahlhaus, Tatjana, 2011. "Determinants of credit-less recoveries," Working Paper Series 1358, European Central Bank.
- Candelon Bertrand & Dumitrescu Elena-Ivona & Hurlin Christophe, 2010. "Currency Crises Early Warning Systems: why they should be Dynamic," Research Memoranda 047, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization.
- Vesna Bucevska, 2011. "Growth effect of aid and its volatility: An individual country study in South Asian economies," Business and Economic Horizons (BEH), Prague Development Center, vol. 4(1), pages 13-26, January.
- Aßmann, Christian, 2008. "Assessing the Effect of Current Account and Currency Crises on Economic Growth," Economics Working Papers 2008,01, Christian-Albrechts-University of Kiel, Department of Economics.
- Aßmann, Christian, 2007. "Determinants and Costs of Current Account Reversals under Heterogeneity and Serial Correlation," Economics Working Papers 2007,17, Christian-Albrechts-University of Kiel, Department of Economics.
- Dumitrescu, Elena-Ivona, 2012. "Econometric methods for financial crises," Open Access publications from Maastricht University urn:nbn:nl:ui:27-29274, Maastricht University.
- Matthew S. Yiu & Alex Ho & Lu Jin, 2009. "Econometric Approach to Early Warnings of Vulnerability in the Banking System and Currency Markets for Hong Kong and Other EMEAP Economies," Working Papers 0908, Hong Kong Monetary Authority.
- Adil Naamane, 2012. "Peut-on prévenir les crises financières ?," Working Papers 2011-2012_7, CATT - UPPA - Université de Pau et des Pays de l'Adour, revised May 2012.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.