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Leading Indicators of Currency Crises in Emerging Economies

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Author Info
Burkart, O.
Coudert, V.

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Abstract

This study identifies common features of currency crises in 15 emerging countries over the period 1980-1998. By analyzing such features, we build an early-warning system aimed at predicting looming crises in probabilistic terms.

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File URL: http://www.banque-france.fr/gb/publications/telechar/ner/ner74.pdf
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Publisher Info
Paper provided by Banque de France in its series Documents de Travail with number 74.

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Length: 41 pages
Date of creation: 2000
Date of revision:
Handle: RePEc:bfr:banfra:74

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Postal: Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS
Web page: http://www.banque-france.fr/
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Related research
Keywords: Currency crises ; Vulnerability indicators ; Early-warning systems ; Crisis prediction ; Asian crisis ; Balance of payments crises ; Discriminant analysis.;

Find related papers by JEL classification:
F31 - International Economics - - International Finance - - - Foreign Exchange
F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Amemiya, Takeshi, 1981. "Qualitative Response Models: A Survey," Journal of Economic Literature, American Economic Association, vol. 19(4), pages 1483-1536, December. [Downloadable!] (restricted)
  2. Graciela L. Kaminsky & Carmen M. Reinhart, 1996. "The twin crises: the causes of banking and balance-of-payments problems," International Finance Discussion Papers 544, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    Other versions:
  3. Kaminsky, Graciela & Lizondo, Saul & Reinhart, Carmen M., 1997. "Leading indicators of currency crises," Policy Research Working Paper Series 1852, The World Bank. [Downloadable!]
    Other versions:
  4. Virginie Coudert, 1999. "Comment definir un taux de change d'equilibre pour les pays emergents ?," Economie Internationale, CEPII research center, issue 1Q, pages 45-66. [Downloadable!]
  5. Menzie D. Chinn, 1998. "Before the Fall: Were East Asian Currencies Overvalued?," NBER Working Papers 6491, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  6. Frankel, Jeffrey A. & Rose, Andrew K., 1996. "Currency crashes in emerging markets: An empirical treatment," Journal of International Economics, Elsevier, vol. 41(3-4), pages 351-366, November. [Downloadable!] (restricted)
    Other versions:
  7. Bardos, Mireille, 1998. "Detecting the risk of company failure at the Banque de France," Journal of Banking & Finance, Elsevier, vol. 22(10-11), pages 1405-1419, October. [Downloadable!] (restricted)
  8. Steven B. Kamin, 1999. "The current international financial crisis: how much is new?," International Finance Discussion Papers 636, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  9. Kruger, Mark & Osakwe, Patrick N. & Page, Jennifer, 1998. "Fundamentals, Contagion and Currency Crises: An Empirical Analysis," Working Papers 98-10, Bank of Canada. [Downloadable!]
  10. Marvin Barth & Trevor Dinmore, 1999. "Trade prices and volumes in East Asia through the crisis," International Finance Discussion Papers 643, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  11. Krugman, Paul, 1979. "A Model of Balance-of-Payments Crises," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 11(3), pages 311-25, August. [Downloadable!] (restricted)
  12. Kamin, Steven B., 1999. "The current international financial crisis:: how much is new?," Journal of International Money and Finance, Elsevier, vol. 18(4), pages 501-514, August. [Downloadable!] (restricted)
  13. Axel A. Weber, 1998. "Sources of currency crises: an empirical analysis," Working Papers 25, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
  14. Robert Flood & Nancy Marion, 1998. "Perspectives on the Recent Currency Crisis Literature," NBER Working Papers 6380, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  15. Jeanne, Olivier, 1999. "Currency Crises: A Perspective on Recent Theoretical Developments," CEPR Discussion Papers 2170, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  16. Gerlach, Stefan & Smets, Frank, 1995. "Contagious speculative attacks," European Journal of Political Economy, Elsevier, vol. 11(1), pages 45-63, March. [Downloadable!] (restricted)
    Other versions:
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Eduardo Borensztein & Catherine A. Pattillo & Andrew Berg, 2004. "Assessing Early Warning Systems: How Have They Worked in Practice?," IMF Working Papers 04/52, International Monetary Fund. [Downloadable!]
    Other versions:
  2. J. Pérez, 2005. "Empirical identification of currency crises: differences and similarities between indicators," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(1), pages 41-46, January. [Downloadable!] (restricted)
  3. Rebecca N. Coke & Andrew Berg, 2004. "Autocorrelation-Corrected Standard Errors in Panel Probits: An Application to Currency Crisis Prediction," IMF Working Papers 04/39, International Monetary Fund. [Downloadable!]
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This page was last updated on 2009-12-16.


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