Currency crashes in emerging markets: An empirical treatment
AbstractWe use a panel of annual data for over one hundred developing countries from 1971 through 1992 to characterize currency crashes. We define a currency crash as a large change of the nominal exchange rate that is also a substantial increase in the rate of change of the nominal depreciation. We examine the composition of the debt as well as its level, and a variety of other macroeconomic, external and foreign factors. Our factors are significantly related to crash incidence, especially output growth, the rate of change of domestic credit, and foreign interest rates. A low ratio of FDI to debt is consistently associated with a high likelihood of a crash.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of International Economics.
Volume (Year): 41 (1996)
Issue (Month): 3-4 (November)
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Web page: http://www.elsevier.com/locate/inca/505552
Other versions of this item:
- Jeffrey A. Frankel & Andrew K. Rose, 1996. "Currency crashes in emerging markets: an empirical treatment," International Finance Discussion Papers 534, Board of Governors of the Federal Reserve System (U.S.).
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Blog mentionsAs found by EconAcademics.org, the blog aggregator for Economics research:
- The 2008-09 Global Financial Crisis: Lessons for Country Vulnerability
by jfrankel in Jeff Frankels Weblog on 2011-09-18 16:12:58
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