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A Model of the Joint Distribution of Banking and Exchange-Rate Crises

Author

Listed:
  • Ms. Nancy P. Marion
  • Mr. Robert P Flood

Abstract

We develop a simple framework for studying the joint distribution of banking and currency crises triggered by real shocks. Our framework illustrates the fact that bank and currency collapses are related but they are not the same thing. Studying currency and bank collapses either in isolation or in perfect correlation with each other is inappropriate, producing biased estimates of the likelihood of crises.

Suggested Citation

  • Ms. Nancy P. Marion & Mr. Robert P Flood, 2001. "A Model of the Joint Distribution of Banking and Exchange-Rate Crises," IMF Working Papers 2001/213, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2001/213
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    File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=15508
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    Citations

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    Cited by:

    1. Javid Suleymanli, 2022. "Differences in the Determinants of National Reserves across G7 and Rising Power Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 12(2), pages 431-443, March.
    2. Mr. Abbas Mirakhor & Mr. Iqbal Mehdi Zaidi, 2004. "Foreign Currency Deposits and International Liquidity Shortages in Pakistan," IMF Working Papers 2004/167, International Monetary Fund.
    3. Pavel Trunin & M. Kamenskih, 2007. "Monitoring Financial Stability In Developing Economies (Case of Russia)," Research Paper Series, Gaidar Institute for Economic Policy, issue 111.
    4. M. Berlemann & K. Hristov & Nikolay Nenovsky, 2002. "Lending of last resort, moral hazard and twin crises. Lessons from the Bulgarian financial crises 1996/1997," Post-Print halshs-00260052, HAL.
    5. Abbas Mirakhor & Iqbal Zaidi, 2006. "Foreign Currency Deposits and International Liquidity Shortages in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 45(1), pages 49-85.
    6. Mr. Se-Jik Kim, 2004. "Timing of International Bailouts," IMF Working Papers 2004/009, International Monetary Fund.

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