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Dating Currency Crisis and Assessing the Determinants Based on Meta Fuzzy Index Functions

Author

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  • Adem Gök

    (Kırklareli University)

  • Nihat Tak

    (Kırklareli University)

Abstract

We use Meta Fuzzy Index Functions to date currency crises in Turkey over the period of January 1990 and October 2019 by aggregating ten different currency crisis indices. In order to assess the determinants of currency crises, we employed logit regression models based on four different groups of explanatory variables. We have found that change in real exchange rate among current account variables, central bank foreign assets over M1, foreign reserves over M1, growth of foreign reserves, growth of central bank foreign assets among capital account variables, credit growth and banking deposits over M2 among the banking variables, real interest rate, inflation rate, change in stock prices, industrial production index and public sector credit growth among the financial variables are significant determinants of currency crises. All of the significant variables except banking deposits over M2 are robust.

Suggested Citation

  • 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.
    • Handle: RePEc:kap:compec:v:61:y:2023:i:3:d:10.1007_s10614-022-10243-9
    DOI: 10.1007/s10614-022-10243-9
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