Leading Indicators of Currency Crises
This paper examines the empirical evidence on currency crises and proposes a specific early warning system. This system involves monitoring the evolution of several indicators that tend to exhibit an unusual behavior in the periods preceding a crisis. When an indicator exceeds a certain threshold value, this is interpreted as a warning “signal” that a currency crisis may take place within the following 24 months. The variables that have the best track record within this approach include exports, deviations of the real exchange rate from trend, the ratio of broad money to gross international reserves, output, and equity prices.
|Date of creation:||01 Jul 1997|
|Contact details of provider:|| Postal: International Monetary Fund, Washington, DC USA|
Phone: (202) 623-7000
Fax: (202) 623-4661
Web page: http://www.imf.org/external/pubind.htm
More information through EDIRC
|Order Information:||Web: http://www.imf.org/external/pubs/pubs/ord_info.htm|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Blanco, Herminio & Garber, Peter M, 1986. "Recurrent Devaluation and Speculative Attacks on the Mexican Peso," Journal of Political Economy, University of Chicago Press, vol. 94(1), pages 148-166, February.
- Gerlach, Stefan & Smets, Frank, 1994.
"Contagious Speculative Attacks,"
CEPR Discussion Papers
1055, C.E.P.R. Discussion Papers.
- Edin, P.A. & Vredin, A., 1991.
"Devaluation Risk in Target Zones: Evidence from the Nordic Countries,"
1991g, Uppsala - Working Paper Series.
- Edin, Per-Anders & Vredin, Anders, 1993. "Devaluation Risk in Target Zones: Evidence from the Nordic Countries," Economic Journal, Royal Economic Society, vol. 103(416), pages 161-175, January.
- Klein, Michael W. & Marion, Nancy P., 1997.
"Explaining the duration of exchange-rate pegs,"
Journal of Development Economics,
Elsevier, vol. 54(2), pages 387-404, December.
- Pierre-Richard Agenor & Jagdeep S. Bhandari & Robert P. Flood, 1991.
"Speculative Attacks and Models of Balance-of-Payments Crises,"
NBER Working Papers
3919, National Bureau of Economic Research, Inc.
- Robert P Flood & Jagdeep S. Bhandari & Pierre-Richard AgÃ©nor, 1991. "Speculative Attacks and Models of Balance of Payments Crises," IMF Working Papers 91/99, .
- Peter M. Garber & Lars E.O. Svensson, 1994.
"The Operation and Collapse of Fixed Exchange Rate Regimes,"
NBER Working Papers
4971, National Bureau of Economic Research, Inc.
- Garber, Peter M. & Svensson, Lars E.O., 1995. "The operation and collapse of fixed exchange rate regimes," Handbook of International Economics, in: G. M. Grossman & K. Rogoff (ed.), Handbook of International Economics, edition 1, volume 3, chapter 36, pages 1865-1911 Elsevier.
- Garber, P.M. & Svensson, L.E.O., 1994. "The Operation and Collapse of Fixed Exchange Rate Regimes," Papers 588, Stockholm - International Economic Studies.
- Carmen M. Reinhart & Sara Calvo, 1996.
"Capital Flows to Latin America: Is There Evidence of Contagion Effects?,"
Peterson Institute Press: Chapters,
in: Guillermo A. Calvo & Morris Goldstein & Eduard Hochreiter (ed.), Private Capital Flows to Emerging Markets After the Mexican Crisis, pages 151-171
Peterson Institute for International Economics.
- Calvo, Sara & Reinhart, Carmen, 1996. "Capital flows to Latin America : Is there evidence of contagion effects?," Policy Research Working Paper Series 1619, The World Bank.
- Reinhart, Carmen & Calvo, Sara, 1996. "Capital Flows to Latin America: Is There Evidence of Contagion Effects?”," MPRA Paper 7124, University Library of Munich, Germany.
- Rudger Dornbusch & Ilan Goldfajn & Rodrigo O. Valdés, 1995. "Currency Crises and Collapses," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 26(2), pages 219-294.
- Santiago Herrera Aguilera & Humberto Mora Alvarez & Juan Manuel Julio Roman, 1991.
"Crisis Cambiaria En Un Sistema Con Minidevaluaciones El Caso Colombiano,"
ENSAYOS SOBRE POLÍTICA ECONÓMICA,
BANCO DE LA REPÚBLICA - ESPE, vol. 10(20), pages 7-51, December.
- Humberto Mora A. & Juan Manuel Julio & Santiago Herrera A., 1991. "Crisis cambiaria en un sistema con minidevaluaciones : el caso colombiano," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 10(20), pages 7-51, Diciembre.
- Dellas, H. & Stockman, A.C., 1988.
"Self-Fullfilling Expectations, Speculative Attacks And Capital Controls,"
RCER Working Papers
138, University of Rochester - Center for Economic Research (RCER).
- Dellas, Harris & Stockman, Alan, 1993. "Self-Fulfilling Expectations, Speculative Attack, and Capital Controls," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(4), pages 721-730, November.
- Obstfeld, Maurice, 1986.
"Rational and Self-fulfilling Balance-of-Payments Crises,"
American Economic Review,
American Economic Association, vol. 76(1), pages 72-81, March.
- Maurice Obstfeld, 1984. "Rational and Self-Fulfilling Balance-of-Payments Crises," NBER Working Papers 1486, National Bureau of Economic Research, Inc.
- Pierre-Richard AgÃ©nor & Jagdeep S. Bhandari & Robert P. Flood, 1992. "Speculative Attacks and Models of Balance of Payments Crises," IMF Staff Papers, Palgrave Macmillan, vol. 39(2), pages 357-394, June.
- Ceyla Pazarbasioglu & Inci Ã–tker, 1994. "Exchange Market Pressures and Speculative Capital Flows in Selected European Countries," IMF Working Papers 94/21, .
- Kamin, S.B., 1988. "Devaluation, External Balance, And Macroeconomic Performance: A Look At The Numbers," Princeton Studies in International Economics 62, International Economics Section, Departement of Economics Princeton University,.
- Guillermo A. Calvo, 1995.
"Varieties of Capital-Market Crises,"
IDB Publications (Working Papers)
5721, Inter-American Development Bank.
- Frankel, Jeffrey A. & Rose, Andrew K., 1996.
"Currency crashes in emerging markets: An empirical treatment,"
Journal of International Economics,
Elsevier, vol. 41(3-4), pages 351-366, November.
- Jeffrey A. Frankel & Andrew K. Rose, 1996. "Currency crashes in emerging markets: an empirical treatment," International Finance Discussion Papers 534, Board of Governors of the Federal Reserve System (U.S.).
- Blackburn, Keith & Sola, Martin, 1993. " Speculative Currency Attacks and Balance of Payments Crises," Journal of Economic Surveys, Wiley Blackwell, vol. 7(2), pages 119-144, June.
- Ozkan, F Gulcin & Sutherland, Alan, 1995. "Policy Measures to Avoid a Currency Crisis," Economic Journal, Royal Economic Society, vol. 105(429), pages 510-519, March.
- Flood, Robert & Marion, Nancy, 1997. "The size and timing of devaluations in capital-controlled economies," Journal of Development Economics, Elsevier, vol. 54(1), pages 123-147, October.
When requesting a correction, please mention this item's handle: RePEc:imf:imfwpa:97/79. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jim Beardow)or (Hassan Zaidi)
If references are entirely missing, you can add them using this form.