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Early Warning System (EWS) of Currency Crises: An Empirical Study of Some SEACEN Countries

  • Yih-Jiuan Wu
  • Tzung-Ta Yen
  • Pei-Wen Chen
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    This paper investigates the macroeconomic factors in predicting the currency crises in a sample of 7 SEACEN countries using the logit econometric models. The empirical results indicate that the variables that may help predict the timing of the currency crises include real US interest rate, ratio of import to foreign reserves, real effective exchange rate, or money multiplier. In particular, the model that includes real US interest rate and ratio of import to foreign reserves can forecast better than other models for most of the 7 sample countries.

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    File URL: http://www.seacen.org/GUI/pdf/publications/research_proj/2000/rp43.pdf
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    This book is provided by South East Asian Central Banks (SEACEN) Research and Training Centre in its series Research Studies with number rp43 and published in 2000.
    ISBN: 983-9478-13-3
    Handle: RePEc:sea:rstudy:rp43
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    1. Carmen M. Reinhart & Graciela L. Kaminsky, 1999. "The Twin Crises: The Causes of Banking and Balance-of-Payments Problems," American Economic Review, American Economic Association, vol. 89(3), pages 473-500, June.
    2. Eichengreen, Barry & Rose, Andrew & Wyplosz, Charles, 1996. " Contagious Currency Crises: First Tests," Scandinavian Journal of Economics, Wiley Blackwell, vol. 98(4), pages 463-84, December.
    3. Klein, Michael W. & Marion, Nancy P., 1997. "Explaining the duration of exchange-rate pegs," Journal of Development Economics, Elsevier, vol. 54(2), pages 387-404, December.
    4. Reuven Glick & Michael M. Hutchison, . "Banking and Currency Crises: How Common Are Twins?," EPRU Working Paper Series 99-20, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
    5. Nancy P. Marion & Robert P. Flood, 1998. "Perspectiveson the Recent Currency Crisis Literature," IMF Working Papers 98/130, International Monetary Fund.
    6. Jason Furman & Joseph E. Stiglitz, 1998. "Economic Crises: Evidence and Insights from East Asia," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 29(2), pages 1-136.
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