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The Duration of Capital Account Crises—An Empirical Analysis

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  • Mr. David J Hofman
  • Mr. Ruben V Atoyan
  • Dimitri Tzanninis
  • Mr. Mauro Mecagni

Abstract

This paper examines the duration of capital account crises. We develop a new index to identify both the start and the end of these crises. Applying the index to a sample of 18 crisis episodes, we derive stylized facts on crisis duration and review the economic and financial circumstances that prevailed at the dusk of crises, a relatively unexplored area. We use the econometric technique of duration analysis to gauge the relative importance of various factors affecting the probability of exiting a crisis. We find that initial and external conditions are key determinants. But fiscal and monetary policies can also help shorten crisis duration.

Suggested Citation

  • Mr. David J Hofman & Mr. Ruben V Atoyan & Dimitri Tzanninis & Mr. Mauro Mecagni, 2007. "The Duration of Capital Account Crises—An Empirical Analysis," IMF Working Papers 2007/258, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2007/258
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    References listed on IDEAS

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    12. Cavallo, Eduardo A. & Frankel, Jeffrey A., 2008. "Does openness to trade make countries more vulnerable to sudden stops, or less? Using gravity to establish causality," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1430-1452, December.
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    Cited by:

    1. Calderón, César & Kubota, Megumi, 2013. "Sudden stops: Are global and local investors alike?," Journal of International Economics, Elsevier, vol. 89(1), pages 122-142.
    2. Thanh Cong Nguyen & Vítor Castro & Justine Wood, 2022. "Political economy of financial crisis duration," Public Choice, Springer, vol. 192(3), pages 309-330, September.
    3. Wälti, Sébastien & Weder, Ghislaine, 2009. "Recovering from bond market distress: Good luck and good policy," Emerging Markets Review, Elsevier, vol. 10(1), pages 36-50, March.

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