This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Currency crises in Asia: A multivariate logit approach

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Jan P.A.M. Jacobs (Department of Economics University of Groningen)
Gerard H. Kuper (Department of Economics University of Groningen)
Lestano (Department of Economics University of Groningen)

Additional information is available for the following registered author(s):

Abstract

Indicators of financial crisis generally do not have a good track record. This paper presents an early warning system (EWS) for six countries in Asia in which indicators do work. Our binary choice model, which has been estimated for the period 1970:01–2001.12, has the following features. We compare four different currency crisis definitions, extract a full list of currency crisis indicators from the literature, apply factor analysis to combine the indicators, and introduce dynamics. We find that money growth (M1 and M2), national savings, and import growth correlate with currency crises.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://129.3.20.41/eps/if/papers/0409/0409005.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by EconWPA in its series International Finance with number 0409005.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length:
Date of creation: 08 Sep 2004
Date of revision:
Handle: RePEc:wpa:wuwpif:0409005

Note: Type of Document - pdf
Contact details of provider:
Web page: http://129.3.20.41

For technical questions regarding this item, or to correct its listing, contact: (EconWPA).

Related research
Keywords: financial crises currency crises early warning system panel data multivariate logit factor analysis

Other versions of this item:

Find related papers by JEL classification:
C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data
C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models
F31 - International Economics - - International Finance - - - Foreign Exchange
F34 - International Economics - - International Finance - - - International Lending and Debt Problems
F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation

This paper has been announced in the following NEP Reports:

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.:
  1. Aghion, Philippe & Bacchetta, Philippe & Banerjee, Abhijit, 2001. "Currency crises and monetary policy in an economy with credit constraints," European Economic Review, Elsevier, vol. 45(7), pages 1121-1150. [Downloadable!] (restricted)
    Other versions:
  2. Lestano & Jacobs, Jan & Kuper, Gerard H., 2003. "Indicators of financial crises do work! : an early-warning system for six Asian countries," CCSO Working Papers 200313, University of Groningen, CCSO Centre for Economic Research. [Downloadable!]
    Other versions:
  3. Kenneth Rogoff, 1999. "International Institutions for Reducing Global Financial Instability," NBER Working Papers 7265, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  4. Frankel, Jeffrey A. & Rose, Andrew K., 1996. "Currency crashes in emerging markets: An empirical treatment," Journal of International Economics, Elsevier, vol. 41(3-4), pages 351-366, November. [Downloadable!] (restricted)
    Other versions:
  5. Pozo, Susan & Amuedo-Dorantes, Catalina, 2003. "Statistical distributions and the identification of currency crises," Journal of International Money and Finance, Elsevier, vol. 22(4), pages 591-609, August. [Downloadable!] (restricted)
  6. 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!]
  7. Demirguc, Asli & Detragiache, Enrica, 2000. "Monitoring Banking Sector Fragility: A Multivariate Logit Approach," World Bank Economic Review, Oxford University Press, vol. 14(2), pages 287-307, May. [Downloadable!]
    Other versions:
  8. Burkart, Oliver & Coudert, Virginie, 2002. "Leading indicators of currency crises for emerging countries," Emerging Markets Review, Elsevier, vol. 3(2), pages 107-133, June. [Downloadable!] (restricted)
  9. Brenda González-Hermosillo, 1996. "Banking Sector Fragility and Systemic Sources of Fragility," IMF Working Papers 96/12, International Monetary Fund.
  10. Zhiwei Zhang, 2001. "Speculative Attacks in the Asian Crisis," IMF Working Papers 01/189, International Monetary Fund. [Downloadable!]
  11. Abdul Abiad, 2003. "Early Warning Systems: A Survey and a Regime-Switching Approach," IMF Working Papers 03/32, International Monetary Fund. [Downloadable!]
  12. Graciela L. Kaminsky & Carmen M. Reinhart, 1999. "The Twin Crises: The Causes of Banking and Balance-of-Payments Problems," American Economic Review, American Economic Association, vol. 89(3), pages 473-500, June. [Downloadable!] (restricted)
    Other versions:
Full references

Cited by:
(explanations, 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.)

  1. Mete Feridun, 2007. "Determinants of Currency Crises in Emerging Markets: An Empirical Investigation on Turkey," Discussion Paper Series 2007_01, Department of Economics, Loughborough University, revised Jan 2007. [Downloadable!]
  2. Andrea Cipollini & George Kapetanios, 2006. "Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis," Computing in Economics and Finance 2006 477, Society for Computational Economics. [Downloadable!]
  3. Mete Feridun, 2006. "Impact of Liquidity on Speculative Pressure in the Exchange Market," Discussion Paper Series 2006_24, Department of Economics, Loughborough University, revised Dec 2006. [Downloadable!]
  4. Bauer, Christian & Herz, Bernhard & Karb, Volker, 2006. "Are twin currency and debt crises special?," Proceedings of the German Development Economics Conference, Berlin 2006 11, Verein für Socialpolitik, Research Committee Development Economics. [Downloadable!]
    Other versions:
Statistics
Access and download statistics

Did you know? You too can volunteer for RePEc, for example by editing a NEP report.

This page was last updated on 2008-8-17.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.