The Duration of Capital Account Crises--An Empirical Analysis

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The Duration of Capital Account Crises--An Empirical Analysis

Author Info

David Hofman
Ruben Atoyan
Dimitri Tzanninis
Mauro Mecagni

Abstract

This paper examines the duration of capital account crises. We develop a new index to identify both the start and the end of these crises. Applying the index to a sample of 18 crisis episodes, we derive stylized facts on crisis duration and review the economic and financial circumstances that prevailed at the dusk of crises, a relatively unexplored area. We use the econometric technique of duration analysis to gauge the relative importance of various factors affecting the probability of exiting a crisis. We find that initial and external conditions are key determinants. But fiscal and monetary policies can also help shorten crisis duration.

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Paper provided by International Monetary Fund in its series IMF Working Papers with number 07/258.

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Length: 42 pages
Date of creation: 08 Nov 2007
Date of revision:
Handle: RePEc:imf:imfwpa:07/258

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This paper has been announced in the following NEP Reports:

NEP-ALL-2008-03-01 (All new papers)
NEP-CBA-2008-03-01 (Central Banking)
NEP-IFN-2008-03-01 (International Finance)
NEP-MON-2008-03-01 (Monetary Economics)

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