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Empirical identification of currency crises: differences and similarities between indicators


  • J. Pérez


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.

Suggested Citation

  • 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.
  • Handle: RePEc:taf:apfelt:v:1:y:2005:i:1:p:41-46

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    References listed on IDEAS

    1. 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.
    2. Kraay, Aart, 2003. "Do high interest rates defend currencies during speculative attacks?," Journal of International Economics, Elsevier, vol. 59(2), pages 297-321, March.
    3. 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.
    4. 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.
    5. Burkart, O. & Coudert, V., 2000. "Leading Indicators of Currency Crises in Emerging Economies," Working papers 74, Banque de France.
    6. 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.
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    Cited by:

    1. Juan Gabriel Brida & W. Adrian Risso, 2009. "Dynamic and Structure of the Italian stock market based on returns and volume trading," Economics Bulletin, AccessEcon, vol. 29(3), pages 2417-2423.
    2. repec:mje:mjejnl:v:12:y:2016:i:3:p:19-37 is not listed on IDEAS
    3. Matesanz Gómez, David & Ortega, Guillermo J., 2005. "Economic growth and currency crisis: A real exchange rate entropic approach," MPRA Paper 211, University Library of Munich, Germany, revised 2006.
    4. David Matesanz & Guillermo Ortega, 2014. "Network analysis of exchange data: interdependence drives crisis contagion," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(4), pages 1835-1851, July.
    5. 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.

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