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Leading Indicators of Currency Crises in Emerging Economies

Author

Listed:
  • Burkart, O.
  • Coudert, V.

Abstract

This study identifies common features of currency crises in 15 emerging countries over the period 1980-1998. By analyzing such features, we build an early-warning system aimed at predicting looming crises in probabilistic terms.

Suggested Citation

  • Burkart, O. & Coudert, V., 2000. "Leading Indicators of Currency Crises in Emerging Economies," Working papers 74, Banque de France.
  • Handle: RePEc:bfr:banfra:74
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    File URL: https://publications.banque-france.fr/sites/default/files/medias/documents/working-paper_74_2000.pdf
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    References listed on IDEAS

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    1. Gerlach, Stefan & Smets, Frank, 1995. "Contagious speculative attacks," European Journal of Political Economy, Elsevier, vol. 11(1), pages 45-63, March.
    2. 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.
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    17. Kruger, Mark & Osakwe, Patrick N. & Page, Jennifer, 1998. "Fundamentals, Contagion and Currency Crises: An Empirical Analysis," Staff Working Papers 98-10, Bank of Canada.
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    Citations

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    Cited by:

    1. Andre Cartapanis, 2004. "Le declenchement des crises de change : qu'avons-nous appris depuis dix ans ?," Economie Internationale, CEPII research center, issue 97, pages 5-48.
    2. Andrew Berg & Eduardo Borensztein & Catherine Pattillo, 2005. "Assessing Early Warning Systems: How Have They Worked in Practice?," IMF Staff Papers, Palgrave Macmillan, vol. 52(3), pages 1-5.
    3. 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.
    4. 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.
    5. Federico Marongiu, 2005. "Towards A New Set Of Leading Indicators Of Currency Crisis For Developing Countries: An Application To Argentina," Public Economics 0512011, EconWPA.
    6. Marc Klau & John Hawkins, 2000. "Measuring potential vulnerabilities in emerging market economies," BIS Working Papers 91, Bank for International Settlements.
    7. Ivo Krznar, 2004. "Currency Crisis: Theory and Practice with Application to Croatia," Working Papers 12, The Croatian National Bank, Croatia.
    8. Marcin Chlebus, 2016. "One-Day Prediction of State of Turbulence for Portfolio. Models for Binary Dependent Variable," Working Papers 2016-01, Faculty of Economic Sciences, University of Warsaw.
    9. Pavel Trunin & M. Kamenskih, 2007. "Monitoring Financial Stability In Developing Economies (Case of Russia)," Research Paper Series, Gaidar Institute for Economic Policy, issue 111.
    10. Andrew Berg & Rebecca N. Coke, 2004. "Autocorrelation-Corrected Standard Errors in Panel Probits; An Application to Currency Crisis Prediction," IMF Working Papers 04/39, International Monetary Fund.
    11. Abdul d Abiad, 2003. "Early Warning Systems; A Survey and a Regime-Switching Approach," IMF Working Papers 03/32, International Monetary Fund.

    More about this item

    Keywords

    Currency crises ; Vulnerability indicators ; Early-warning systems ; Crisis prediction ; Asian crisis ; Balance of payments crises ; Discriminant analysis.;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications

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