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Signaling currency crises in South Africa

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Author Info
Tobias Knedlik

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Abstract

Currency crises episodes of 1996, 1998, and 2001 are used to identify common country specific causes of currency crises in South Africa. The paper identifies crises by the use of an Exchange Market Pressure (EMP) index as introduced by Eichengreen, Rose and Wyplosz (1996). It extends the Signals Approach introduced by Kaminsky and Reinhart (1996, 1998) by developing a composite indicator in order to measure the evolution of currency crisis risk in South Africa. The analysis considers the standard suspects from international currency crises and country specifics as identified by the Myburgh Commission (2002) and current literature as potentially relevant indicators.

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Paper provided by Halle Institute for Economic Research in its series IWH Discussion Papers with number 19-06.

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Date of creation: Nov 2006
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Handle: RePEc:iwh:dispap:19-06

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Related research
Keywords: signals approach currency crises South Africa

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Find related papers by JEL classification:
E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
F3 - International Economics - - International Finance
G1 - Financial Economics - - General Financial Markets

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  1. 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!]
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  2. Eichengreen, Barry & Rose, Andrew & Wyplosz, Charles, 1996. " Contagious Currency Crises: First Tests," Scandinavian Journal of Economics, Blackwell Publishing, vol. 98(4), pages 463-84, December.
  3. Kaminsky, Graciela & Lizondo, Saul & Reinhart, Carmen M., 1997. "Leading indicators of currency crises," Policy Research Working Paper Series 1852, The World Bank. [Downloadable!]
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  4. Reuven Glick & Ramon Moreno & Mark Spiegel, 2001. "Financial crises in emerging markets," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue Mar. 23. [Downloadable!]
  5. Uma Moorthy & W. R. M. Perraudin & Manmohan S. Kumar, 2002. "Predicting Emerging Market Currency Crashes," IMF Working Papers 02/7, International Monetary Fund.
  6. Reuven Glick & Michael Hutchison, 1999. "Banking and currency crises; how common are twins?," Proceedings, Federal Reserve Bank of San Francisco, issue Sep. [Downloadable!]
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  7. Janine Aron & John Muellbauer, 2000. "Estimating Monetary Policy Rules for South Africa," Working Papers Central Bank of Chile 89, Central Bank of Chile. [Downloadable!]
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  8. Steven B. Kamin & John W. Schindler & Shawna L. Samuel, 2001. "The contribution of domestic and external factors to emerging market devaluation crises: an early warning systems approach," International Finance Discussion Papers 711, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  9. Jahangir Aziz & Francesco Caramazza & Ranil Salgado, 2000. "Currency Crises - In Search of Common Elements," IMF Working Papers 00/67, International Monetary Fund.
  10. Berg, Andrew & Pattillo, Catherine, 1999. "Predicting currency crises:: The indicators approach and an alternative," Journal of International Money and Finance, Elsevier, vol. 18(4), pages 561-586, August. [Downloadable!] (restricted)
  11. Pavan Ahluwalia, 2000. "Discriminating Contagion - An Alternative Explanation of Contagious Currency Crises in Emerging Markets," IMF Working Papers 00/14, International Monetary Fund.
  12. 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)
  13. Obstfeld, Maurice, 1986. "Rational and Self-fulfilling Balance-of-Payments Crises," American Economic Review, American Economic Association, vol. 76(1), pages 72-81, March. [Downloadable!] (restricted)
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  14. Ramon Moreno, 2000. "Pegging and macroeconomic performance in East Asia," Pacific Basin Working Paper Series 00-03, Federal Reserve Bank of San Francisco. [Downloadable!]
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  15. Abdul Abiad, 2003. "Early Warning Systems: A Survey and a Regime-Switching Approach," IMF Working Papers 03/32, International Monetary Fund. [Downloadable!]
  16. Francesco Caramazza & Luca Antonio Ricci & Ranil Salgado, 2000. "Trade and Financial Contagion in Currency Crises," IMF Working Papers 00/55, International Monetary Fund.
  17. Libor Krkoska, 2001. "Assessing Macroeconomic Vulnerability in Central Europe," Post-Communist Economies, Taylor and Francis Journals, vol. 13(1), pages 41-55, March. [Downloadable!] (restricted)
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Cited by:
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  1. María José Gil-Moltó & Joanna Poyago-Theotoky & Vasileios Zikos, 2006. "R&D policy and privatization in a mixed oligopoly," Discussion Paper Series 2006_25, Department of Economics, Loughborough University. [Downloadable!]
  2. Mete Feridun, 2006. "Currency Crises in Emerging Markets: An Application of Signals Approach to Turkey," Discussion Paper Series 2006_26, Department of Economics, Loughborough University, revised Dec 2006. [Downloadable!]
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