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On the Determinants of Currency Crises: The Role of Model Uncertainty

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  • Jesús Crespo Cuaresma

    (Vienna University of Economics and Business, Institute for Fiscal and Monetary Policy)

  • Tomáš Slacík

    (Oesterreichische Nationalbank, Foreign Research Division)

Abstract

In this contribution, we tackle explicitly the issue of model uncertainty in the framework of binary variable models of currency crises. Using Bayesian model averaging techniques, we assess the robustness of the explanatory variables proposed in the recent literature for both static and dynamic models. Our results indicate that the variables belonging to the set of macroeconomic fundamentals proposed by the literature are very fragile determinants of the occurrence of currency crises.

Suggested Citation

  • Jesús Crespo Cuaresma & Tomáš Slacík, 2007. "On the Determinants of Currency Crises: The Role of Model Uncertainty," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 54-68.
    • Handle: RePEc:onb:oenbfi:y:2007:i:2:b:1
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    More about this item

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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