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Currency Crises In Emerging Countries: The Commodity Factor

Author

Listed:
  • Vincent Bodart

    (UNIVERSITE CATHOLIQUE DE LOUVAIN, Institut de Recherches Economiques et Sociales (IRES))

  • Jean-François Carpantier

    (UNIVERSITE CATHOLIQUE DE LOUVAIN, Institut de Recherches Economiques et Sociales (IRES))

Abstract

In this paper, we explore whether falls in commodity prices can explain the simultaneous occurence of currency crises in emerging and developing countries. For our empirical analysis, we use a panel of 104 emerging and developing countries, covering the period 1970-2018. Using event studies, we find that currency crises in commodity dependent countries are preceded by commodity price growth 2 to 4 percentage points below normal. In addition, using Poisson regression analysis, we find that a 10% decrease in global commodity price indices leads to a rise of about 7% in the number of currency crises hitting commodity exporting countries.

Suggested Citation

  • Vincent Bodart & Jean-François Carpantier, 2020. "Currency Crises In Emerging Countries: The Commodity Factor," LIDAM Discussion Papers IRES 2021003, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    • Handle: RePEc:ctl:louvir:2021003
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    More about this item

    Keywords

    Currency crises; Commodity prices; Commodity dependence; Commodity currencies;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements

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