Determinants of Currency Crises in Emerging Markets: An Empirical Investigation on Turkey
AbstractThis article aims at identifying the determinants of currency crises in Turkey the period 1980:01-2006:06. Following a general-to-specific model selection methodology, a broad set of pre-selected variables were tested through bivariate logit regressions. Significant variables were then used in a multivariate logit model. Strong evidence emerged that current account balance/GDP, short-term debt/long-term debt, domestic credit/GDP, foreign liabilities/foreign assets of banks, and fiscal balance/GDP are significant with correct signs. The measures of goodness-of-fit and in-sample predictive power of the model turned out to be favorable. The resulting model correctly calls 87.18% and 73.08% of the months at 10% and 20% levels, respectively.
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Bibliographic InfoPaper provided by Department of Economics, Loughborough University in its series Discussion Paper Series with number 2007_01.
Date of creation: Jan 2007
Date of revision: Jan 2007
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More information through EDIRC
Speculative attacks; currency crises; logit model; Turkey.;
Find related papers by JEL classification:
- F30 - International Economics - - International Finance - - - General
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-02-17 (All new papers)
- NEP-CWA-2007-02-17 (Central & Western Asia)
- NEP-MAC-2007-02-17 (Macroeconomics)
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