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Leading Indicators of Currency Crises in Emerging Economies

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Author Info

  • Burkart, O.
  • Coudert, V.

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/uploads/tx_bdfdocumentstravail/ner74.pdf
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Bibliographic Info

Paper provided by Banque de France in its series Working papers with number 74.

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

Contact details of provider:
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.;

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References

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  1. Reinhart, Carmen & Kaminsky, Graciela, 1999. "The twin crises: The causes of banking and balance of payments problems," MPRA Paper 14081, University Library of Munich, Germany.
  2. Amemiya, Takeshi, 1981. "Qualitative Response Models: A Survey," Journal of Economic Literature, American Economic Association, vol. 19(4), pages 1483-1536, December.
  3. Reinhart, Carmen & Kaminsky, Graciela & Lizondo, Saul, 1998. "Leading Indicators of Currency Crises," MPRA Paper 6981, University Library of Munich, Germany.
  4. Menzie D. Chinn, 1998. "Before the Fall: Were East Asian Currencies Overvalued?," NBER Working Papers 6491, National Bureau of Economic Research, Inc.
  5. Gerlach, Stefan & Smets, Frank, 1994. "Contagious Speculative Attacks," CEPR Discussion Papers 1055, C.E.P.R. Discussion Papers.
  6. Nancy P. Marion & Robert P. Flood, 1998. "Perspectiveson the Recent Currency Crisis Literature," IMF Working Papers 98/130, International Monetary Fund.
  7. 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.
  8. Catherine A. Pattillo & Andrew Berg, 1998. "Are Currency Crises Predictable? a Test," IMF Working Papers 98/154, International Monetary Fund.
  9. Enrica Detragiache & Asli Demirgüç-Kunt, 1999. "Monitoring Banking Sector Fragility," IMF Working Papers 99/147, International Monetary Fund.
  10. 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.
  11. 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.
  12. Kruger, Mark & Osakwe, Patrick N. & Page, Jennifer, 1998. "Fundamentals, Contagion and Currency Crises: An Empirical Analysis," Working Papers 98-10, Bank of Canada.
  13. Virginie Coudert, 1999. "Comment definir un taux de change d'equilibre pour les pays emergents ?," Economie Internationale, CEPII research center, issue 77, pages 45-66.
  14. 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.
  15. Axel A. Weber, 1998. "Sources of Currency Crises: An Empirical Analysis," Working Papers 25, Oesterreichische Nationalbank (Austrian Central Bank).
  16. Jeanne, Olivier, 1999. "Currency Crises: A Perspective on Recent Theoretical Developments," CEPR Discussion Papers 2170, C.E.P.R. Discussion Papers.
  17. 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.).
  18. 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.).
  19. Christian B. Mulder & Matthieu Bussière, 1999. "External Vulnerability in Emerging Market Economies," IMF Working Papers 99/88, International Monetary Fund.
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Citations

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Cited by:
  1. Andrew Berg & Eduardo Borensztein & Catherine A. Pattillo, 2004. "Assessing Early Warning Systems," IMF Working Papers 04/52, International Monetary Fund.
  2. S. DeVicerte & P. Alvarez & J. Perez & C. Caso, 2008. "Does currency crisis identification matter?," Applied Financial Economics, Taylor & Francis Journals, vol. 18(5), pages 387-395.
  3. Andre Cartapanis, 2004. "Le declenchement des crises de change : qu'avons-nous appris depuis dix ans ?," Economie Internationale, CEPII research center, issue 97, pages 5-48.
  4. Abdul Abiad, 2003. "Early Warning Systems," IMF Working Papers 03/32, International Monetary Fund.
  5. Federico Marongiu, 2005. "Towards A New Set Of Leading Indicators Of Currency Crisis For Developing Countries: An Application To Argentina," Public Economics 0512011, EconWPA.
  6. Andrew Berg & Rebecca N. Coke, 2004. "Autocorrelation-Corrected Standard Errors in Panel Probits," IMF Working Papers 04/39, International Monetary Fund.
  7. Marc Klau & John Hawkins, 2000. "Measuring potential vulnerabilities in emerging market economies," BIS Working Papers 91, Bank for International Settlements.

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