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Indicators of Currency Crisis: Empirical Analysis of some Emerging and Transition Economies

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  • Malgorzata Jakubiak
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    Abstract

    This paper focuses on the measurement of a contemporaneous currency crisis. The analysis covers 14 "emerging" or "transforming" economies that experienced episodes of currency crises over the last decade. It adds to well-known examples relatively littleknown evidence on the crisis depth in some of the CIS countries. Following the Eichengreen, Rose, and Wyplosz (1994) definition of a currency crisis, the emphasis is primarily put on the examination of changes in relative reserves, exchange rates, and real interest rates during periods of exchange rate pressure. Other measures of the depth of a currency crisis as well as measures of external vulnerability are also discussed. The findings support the adequacy of the Eichengreen, Rose, and Wyplosz (1994) definition in analyzing crisis developments in emerging economies.

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    File URL: http://www.case-research.eu/upload/publikacja_plik/SA218.pdf
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    Bibliographic Info

    Paper provided by CASE-Center for Social and Economic Research in its series CASE Network Studies and Analyses with number 0218.

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    Length: 24 Pages
    Date of creation: 2000
    Date of revision:
    Handle: RePEc:sec:cnstan:0218

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    Related research

    Keywords: transition economies; currency crisis;

    References

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    1. Barry Eichengreen & Andrew K. Rose & Charles Wyplosz, 1994. "Speculative Attacks on Pegged Exchange Rates: An Empirical Exploration with Special Reference to the European Monetary System," NBER Working Papers 4898, National Bureau of Economic Research, Inc.
    2. Andrew Berg, 1999. "The Asia Crisis - Causes, Policy Responses and Outcomes," IMF Working Papers 99/138, International Monetary Fund.
    3. Roberto Chang & Andres Velasco, 1999. "Liquidity Crises in Emerging Markets: Theory and Policy," NBER Working Papers 7272, National Bureau of Economic Research, Inc.
    4. Julius Horvath, 1999. "The May 1997 Currency Crisis in the Czech Republic," Post-Communist Economies, Taylor & Francis Journals, vol. 11(3), pages 277-298.
    5. Rafal Antczak, 2000. "Theoretical Aspects of Currency Crises," CASE Network Studies and Analyses 0211, CASE-Center for Social and Economic Research.
    6. Angel J. Ubide & Tomás J. T. Baliño, 1999. "The Korean Financial Crisis of 1997 - A Strategy of Financial Sector Reform," IMF Working Papers 99/28, International Monetary Fund.
    7. Timothy D. Lane & Marianne Schulze-Gattas & T. M. Tsikata & Steven Phillips & Atish R. Ghosh & A. Javier Hamann, 1999. "IMF-Supported Programs in Indonesia, Korea and Thailand," IMF Occasional Papers 178, International Monetary Fund.
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    Cited by:
    1. Marek Dabrowski & Rafal Antczak & Malgorzata Markiewicz & Artur Radziwill & Marcin Sasin, 2001. "The Episodes of Currency Crises in the European Transition Economies," CASE Network Reports 0040, CASE-Center for Social and Economic Research.

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