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Early Warning System for Currency and Banking Crisis in Iran (KLR- Signaling Approach) (in Persian)

Author

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  • Shajari, Parastoo

    (Iran)

  • Mohebi Khah, Bita

    (Iran)

Abstract

This paper uses the signaling approach to anticipate the banking and currency crisis in Iran and analyze the links between them. Banking system in Iran encountered banking crisis from 1384(2005) till the second half of 1388(2009) and balance of payment crisis has occurred in forth season of 1367(1988)¡ the early 1367(1988)¡ end of 1372(1993) and early 1373(1994)¡ and first season of 1374(1995) and the mid of 1377(1998). These occurrences prove that there is no polarity between these two crises in Iran. We found find that index of stock market and the real interest rate are the most credible variables in predicting the banking crisis and also index of stock market and real exchange rate are the most credible in predicting the currency crisis. Now Iran is in the transitive era of banking crisis. According to the common variables in predicting these two crises¡ the negligence of the policymakers to variation of these variables¡ could confront the country with the twin crisis.JEL Classification: G01, E42, C4, C2

Suggested Citation

  • Shajari, Parastoo & Mohebi Khah, Bita, 2010. "Early Warning System for Currency and Banking Crisis in Iran (KLR- Signaling Approach) (in Persian)," Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 2(4), pages 115-152, September.
    • Handle: RePEc:mbr:jmbres:v:2:y:2010:i:4:p:115-152
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    More about this item

    Keywords

    Banking Crisis; Currency Crisis; Twin Crisis; Early Warning System; Signaling Approach;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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