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Determinants of Currency Crises in Emerging Markets: The Case of Turkey

  • Ãzge ÃeÅmeci
  • A. Ãzlem Ãnder

This paper investigates possible determinants of currency crises in Turkey. We use three different techniquesânamely, the signaling approach, structural model, and Markov switching model with monthly data for the period 1992-2004. The results show that money market pressure index, real-sector confidence index, and public-sector variables are significant in explaining currency crises. Hence, one can say that banking crises lead to currency crises. Central banks' real-sector confidence index may be a good leading indicator for currency crises.

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Article provided by M.E. Sharpe, Inc. in its journal Emerging Markets Finance and Trade.

Volume (Year): 44 (2008)
Issue (Month): 5 (September)
Pages: 54-67

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Handle: RePEc:mes:emfitr:v:44:y:2008:i:5:p:54-67
Contact details of provider: Web page: http://mesharpe.metapress.com/link.asp?target=journal&id=111024

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  1. Michael Chui, 2002. "Leading indicators of balance-of-payments crises: a partial review," Bank of England working papers 171, Bank of England.
  2. Reinhart, Carmen & Kaminsky, Graciela & Goldstein, Morris, 2000. "Notes on contagion," MPRA Paper 24569, University Library of Munich, Germany.
  3. Garcia, R. & Perron, P., 1990. "An Anlysis Of The Real Interest Rate Under Regime Shifts," Papers 353, Princeton, Department of Economics - Econometric Research Program.
  4. Reinhart, Carmen & Kaminsky, Graciela, 1999. "The twin crises: The causes of banking and balance of payments problems," MPRA Paper 14081, University Library of Munich, Germany.
  5. Ayse Y. Evrensel, 2004. "IMF Programs and Financial Liberalization in Turkey," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 40(4), pages 5-19, July.
  6. Ayse Y. Evrensel, 2004. "IMF Programs and Financial Liberalization in Turkey," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 40(4), pages 5-19, July.
  7. Graciela Kaminsky & Saul Lizondo & Carmen M. Reinhart, 1998. "Leading Indicators of Currency Crises," IMF Staff Papers, Palgrave Macmillan, vol. 45(1), pages 1-48, March.
  8. C. Emre Alper, 2001. "The Turkish Liquidity Crisis of 2000: What Went Wrong..," Working Papers 2001/11, Bogazici University, Department of Economics.
  9. Jeffrey Sachs & Aaron Tornell & Andres Velasco, 1996. "Financial Crises in Emerging Markets: The Lessons from 1995," NBER Working Papers 5576, National Bureau of Economic Research, Inc.
  10. C. Emre Alper & Ziya Onis, 2003. "Financial Globalization, the Democratic Deficit, and Recurrent Crises in Emerging Markets : The Turkish Experience in the Aftermath of Capital Account Liberalization," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 39(3), pages 5-26, May.
  11. Mariano Roberto S & Gultekin Bulent N & Ozmucur Suleyman & Shabbir Tayyeb & Alper C. Emre, 2004. "Prediction of Currency Crises: Case of Turkey," Review of Middle East Economics and Finance, De Gruyter, vol. 2(2), pages 1-21, August.
  12. Catherine A Pattillo & Andrew Berg, 1998. "Are Currency Crises Predictable? A Test," IMF Working Papers 98/154, International Monetary Fund.
  13. Jeanne, Olivier & Masson, Paul, 2000. "Currency crises, sunspots and Markov-switching regimes," Journal of International Economics, Elsevier, vol. 50(2), pages 327-350, April.
  14. Reinhart, Carmen & Goldstein, Morris & Kaminsky, Graciela, 2000. "Assessing financial vulnerability, an early warning system for emerging markets: Introduction," MPRA Paper 13629, University Library of Munich, Germany.
  15. Akyuz, Yilmaz & Boratav, Korkut, 2003. "The Making of the Turkish Financial Crisis," World Development, Elsevier, vol. 31(9), pages 1549-1566, September.
  16. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
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