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

Author

Listed:
  • Yih-Jiuan Wu
  • Tzung-Ta Yen
  • Pei-Wen Chen

Abstract

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.

Suggested Citation

  • Yih-Jiuan Wu & Tzung-Ta Yen & Pei-Wen Chen, 2000. "Early Warning System (EWS) of Currency Crises: An Empirical Study of Some SEACEN Countries," Research Studies, South East Asian Central Banks (SEACEN) Research and Training Centre, number rp43, June.
    • Handle: RePEc:sea:rstudy:rp43
    as

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    File URL: https://www.seacen.org/publications/RePEc/702001-100201-PDF.pdf
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    References listed on IDEAS

    as
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