Empirical identification of currency crises: differences and similarities between indicators
Empirical studies about currency crises use very different methods to identify in which moment these actually take place. This study carries out a broad review of these indicators; they are reproduced for a period of time and are sampled in several common countries. After that they are compared to each other through a cluster analysis. The results indicate that there are considerable differences between how each one signals the crises.
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Volume (Year): 1 (2005)
Issue (Month): 1 (January)
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References listed on IDEAS
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- Bussière, Matthieu & Fratzscher, Marcel, 2002.
"Towards a new early warning system of financial crises,"
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0145, European Central Bank.
- Bussiere, Matthieu & Fratzscher, Marcel, 2006. "Towards a new early warning system of financial crises," Journal of International Money and Finance, Elsevier, vol. 25(6), pages 953-973, October.
- Fratzscher, Marcel & Matthieu Bussiere, 2003. "Towards A New Early Warning System of Financial Crises," Royal Economic Society Annual Conference 2003 81, Royal Economic Society.
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"Do high interest rates defend currencies during speculative attacks?,"
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Elsevier, vol. 59(2), pages 297-321, March.
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- 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.
- Graciela Laura Kaminsky, 1997.
"Leading Indicators of Currency Crises,"
IMF Working Papers
97/79, International Monetary Fund.
- Kaminsky, Graciela & Lizondo, Saul & Reinhart, Carmen M., 1997. "Leading indicators of currency crises," Policy Research Working Paper Series 1852, The World Bank.
- Reinhart, Carmen & Kaminsky, Graciela & Lizondo, Saul, 1998. "Leading Indicators of Currency Crises," MPRA Paper 6981, University Library of Munich, Germany.
- Berg, Andrew & Pattillo, Catherine, 1999. "Predicting currency crises:: The indicators approach and an alternative," Journal of International Money and Finance, Elsevier, vol. 18(4), pages 561-586, August.
- Burkart, O. & Coudert, V., 2000. "Leading Indicators of Currency Crises in Emerging Economies," Working papers 74, Banque de France.
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