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Dating currency crises in emerging market economies

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  • Boonman, Tjeerd Menno

Abstract

The first crucial step in studying currency crises empirically is to identify these crises and to date them as precisely as possible. We construct a database of currency crisis dates for 35 emerging economies for the period 1990–2016, using data at a monthly frequency to improve accuracy. We use multiple quantitative definitions, past studies, narrative and expert opinions to date the crises. We then compare the performance of individual crisis definitions versus combinations of definitions and find that the latter perform better. Lastly, we find that several definitions perform worse in floating and free falling exchange rate regimes than in fixed and intermediate regimes.

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  • Boonman, Tjeerd Menno, 2019. "Dating currency crises in emerging market economies," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 273-286.
    • Handle: RePEc:eee:ecofin:v:49:y:2019:i:c:p:273-286
    DOI: 10.1016/j.najef.2019.04.006
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    Cited by:

    1. Tjeerd M. Boonman & Jan P. A. M. Jacobs & Gerard H. Kuper & Alberto Romero, 2019. "Early Warning Systems for Currency Crises with Real-Time Data," Open Economies Review, Springer, vol. 30(4), pages 813-835, September.
    2. Adem Gök & Nihat Tak, 2023. "Dating Currency Crisis and Assessing the Determinants Based on Meta Fuzzy Index Functions," Computational Economics, Springer;Society for Computational Economics, vol. 61(3), pages 1225-1250, March.
    3. Nihat Tak & Adem Gök, 2022. "Dating currency crises and designing early warning systems: Meta‐possibilistic fuzzy index functions," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3773-3790, July.
    4. Marthinsen, John E. & Gordon, Steven R., 2022. "Hyperinflation, Optimal Currency Scopes, and a Cryptocurrency Alternative to Dollarization," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 161-173.
    5. Tjeerd M. Boonman & Andrea E. Sanchez Urbina, 2020. "Extreme Bounds Analysis in Early Warning Systems for Currency Crises," Open Economies Review, Springer, vol. 31(2), pages 431-470, April.

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    More about this item

    Keywords

    Currency crises; Emerging market economies; Exchange rate regimes;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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