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Currency crises in Asia: a multivariate logit approach

  • Jacobs, Jan P.A.M.
  • Kuper, Gerard H.
  • Lestano

    (Groningen University)

Indicators of financial crisis generally do not have a good track record. This paper presents an early warning system (EWS) for six countries in Asia in which indicators do work. Our binary choice model, which has been estimated for the period 1970:01?2001.12, has the following features. We extract a full list of currency crisis indicators from the literature, apply factor analysis to combine the indicators, and introduce dynamics. The quality of the EWS is assessed both in-sample and out-of-sample. We find that money growth (M1 and M2), national savings, and import growth correlate with currency crises.

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File URL: http://irs.ub.rug.nl/ppn/287806588
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Paper provided by University of Groningen, CCSO Centre for Economic Research in its series CCSO Working Papers with number 200506.

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Date of creation: 2005
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Handle: RePEc:dgr:rugccs:200506
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  1. Takatoshi Ito & Yuko Hashimoto, 2002. "High Frequency Contagion of Currency Crises in Asia," NBER Working Papers 9376, National Bureau of Economic Research, Inc.
  2. Lestano & Jacobs, Jan P.A.M., 2004. "A comparison of currency crisis dating methods: East Asia 1970-2002," CCSO Working Papers 200412, University of Groningen, CCSO Centre for Economic Research.
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