IDEAS home Printed from https://ideas.repec.org/a/elt/journl/v67y2000i266p191-237.html
   My bibliography  Save this article

Determinantes de las crisis cambiarias

Author

Listed:
  • Esquivel, Gerardo

    (El Colegio de México)

  • Larraín B, Felipe

    (Escuela de Gobierno Kennedy (KSG), Universidad de Harvard)

Abstract

This paper examines the determinants of currency crises with a panel annual dataset for 30 countries between 1975 and 1996. We estimate a probit model with random effects, and find that high rates of seignorage, current account imbalances, real exchange rate misalignment, low foreign exchanges reserves, negative terms of trade shocks, poor growth performance, and a measure of regional contagion all have significant power to explain the presence of currency crisis in our sample. In general, our results can be interpreted as supporting both first and second-generation models of currency crises. Various robustness tests confirm the validity of these results. We also find that currency crises have and important predictable component. Using our benchmark regression we are able to predict correctly a majority of the currency crises that occurred within our sample.// Este artículo examina los determinantes de las crisis cambiarias con un conjunto de datos anuales de 30 países entre 1975 y 1996. Estimamos un modelo probit con efectos aleatorios y descubrimos que las tasas elevadas de señoraje, los desequilibrios de la cuenta corriente, el desanileamiento del tipo de cambio real, la escasez de reservas de divisas, los choque negativos de los términos de intercambio, un precario crecimiento económico y una medida del contagio regional tienen un poder significativo para explicar la presencia de crisis cambiarias en la muestra utilizada. En general, nuestros resultados pueden interpretarse como un apoyo a los modelos de crisis cambiarias de primera y segunda generaciones. Varias pruebas sólidas confirman la validez de estos resultados. Descubrimos también que las crisis cambiarias tienen un importante componente pronosticable. Utilizando nuestra regresión de referencia pudimos pronosticar correctamente la mayoría de las crisis cambiarias ocurridas dentro de la muestra.

Suggested Citation

  • Esquivel, Gerardo & Larraín B, Felipe, 2000. "Determinantes de las crisis cambiarias," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(266), pages 191-237, abril-jun.
  • Handle: RePEc:elt:journl:v:67:y:2000:i:266:p:191-237
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gerardo ESQUIVEL & Felipe LARRAIN B., 2002. "The Impact Of G-3 Exchange Rate Volatility On Developing Countries," G-24 Discussion Papers 16, United Nations Conference on Trade and Development.
    2. Gerardo Esquivel & Felipe Larraín, 2003. "¿Qué Sabemos Realmente sobre las Crisis Cambiarias?," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 40(121), pages 656-667.
    3. S. DeVicerte & P. Alvarez & J. Perez & C. Caso, 2008. "Does currency crisis identification matter?," Applied Financial Economics, Taylor & Francis Journals, vol. 18(5), pages 387-395.
    4. J. Pérez, 2005. "Empirical identification of currency crises: differences and similarities between indicators," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(1), pages 41-46, January.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:elt:journl:v:67:y:2000:i:266:p:191-237. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Nuria Pliego Vinageras). General contact details of provider: http://www.fondodeculturaeconomica.com/ .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.