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Leading indicators of currency crises Author info | Abstract | Publisher info | Download info | Related research | Statistics Kaminsky, Graciela
Lizondo, Saul
Reinhart, Carmen M.
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The authors examine the empirical evidence on currency crises and propose a specific early-warning system. This system involves monitoring the evolution of several indicators that tend to exhibit unusual behavior in the periods preceding a crisis. An indicator exceeding a certain threshold value should be interpreted as a warning"signal"that a currency crisis may take place within the following 24 months. The threshold values are calculated to strike a balance between the risk of having many false signals and the risk of missing many crises. Within this approach, the variables with the best track record include exports, deviations of the real exchange rate from trend, the ratio of broad money to gross international reserves, output, and equity prices. The evidence does not support some of the other indicators that were considered, including imports, bank deposits,the difference between foreign and domestic real deposit interest rates, and the ratio of lending to deposit interest rates.
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Paper provided by The World Bank in its series Policy Research Working Paper Series with number
1852.
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Date of creation: 30 Nov 1997Date of revision:
Handle: RePEc:wbk:wbrwps:1852Contact details of provider: Postal: 1818 H Street, N.W., Washington, DC 20433 Email: Web page: http://www.worldbank.org/ More information through EDIRC
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Keywords: Payment Systems&Infrastructure ; Economic Theory&Research ; Fiscal&Monetary Policy ; Environmental Economics&Policies ; Labor Policies ; Economic Theory&Research ; Macroeconomic Management ; Economic Stabilization ; Environmental Economics&Policies ; Financial Economics ; Other versions of this item:
Article Paper Graciela Laura Kaminsky, 1997.
"Leading Indicators of Currency Crises ,"
IMF Working Papers
97/79, International Monetary Fund.
Reinhart, Carmen & Kaminsky, Graciela & Lizondo, Saul, 1998.
"Leading Indicators of Currency Crises ,"
MPRA Paper
6981, University Library of Munich, Germany.
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References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Kamin, S.B., 1988.
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IMF Working Papers
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Other versions: Rudger Dornbusch & Ilan Goldfajn & Rodrigo O. Valdés, 1995.
"Currency Crises and Collapses ,"
Brookings Papers on Economic Activity ,
Economic Studies Program, The Brookings Institution, vol. 26(1995-2), pages 219-294.
[Downloadable!]
Flood, Robert & Marion, Nancy, 1997.
"The size and timing of devaluations in capital-controlled economies ,"
Journal of Development Economics ,
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[Downloadable!] (restricted)
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