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Determinants of currency crises in the Republic of Serbia

Author

Listed:
  • Ivana Marjanoviæ

    (University of Niš, Innovation Center, Univerzitetski trg 2, 18000 Niš, Serbia)

  • Milan Markoviæ

    (University of Niš, Innovation Center, Univerzitetski trg 2, 18000 Niš, Serbia)

Abstract

The aim of this study is to overcome the lack of empirical research dealing with the main factors of currency crises in the Republic of Serbia, analyzing periods of currency crises and creating an early warning system to anticipate the upcoming currency crises. Using econometric analysis, this paper examines the determinants of currency crises episodes during the period from January 2007 to May 2018, and based on this, it makes proposals for economic policy makers. It has been shown that dominant factors are those that bind mostly with the effect of factors from the external environment, which is important in assessing and forecasting potential crises in the Republic of Serbia. More specifically, the obtained results indicate that the overvaluation of the national currency, current account balance as a percentage of GDP, imports and stock exchange index are statistically significant variables.

Suggested Citation

  • Ivana Marjanoviæ & Milan Markoviæ, 2019. "Determinants of currency crises in the Republic of Serbia," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 37(1), pages 191-212.
    • Handle: RePEc:rfe:zbefri:v:37:y:2019:i:1:p:191-212
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    References listed on IDEAS

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    More about this item

    Keywords

    currency crisis; early warning system; EMP index; probit model;
    All these keywords.

    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • F30 - International Economics - - International Finance - - - General
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications

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