Signaling Currency Crises in South Africa
Currency crises episodes of 1996, 1998, and 2001 are used to identify common country specific causes of currency crises in South Africa. The paper identifies crises by the use of an Exchange Market Pressure (EMP) index as introduced by Eichengreen, Rose and Wyplosz (1996). It extends the Signals Approach introduced by Kaminsky and Reinhart (1996, 1998) by developing a composite indicator in order to measure the evolution of currency crisis risk in South Africa. The analysis considers the standard suspects from international currency crises and country specifics as identified by the Myburgh Commission (2002) and current literature as potentially relevant indicators.
|Date of creation:||Nov 2006|
|Date of revision:|
|Contact details of provider:|| Postal: Kleine Märkerstrasse 8, 06108 Halle (Saale)|
Phone: (0345) 7753-60
Fax: (0345) 7753-820
Web page: http://www.iwh-halle.de
More information through EDIRC
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.:
- Ranil M Salgado & Jahangir Aziz & Francesco Caramazza, 2000. "Currency Crises; In Search of Common Elements," IMF Working Papers 00/67, International Monetary Fund.
- Moreno, R., 2000.
"Pagging and Macroeconomic Performance in East Asia,"
pb00-03, Economisch Institut voor het Midden en Kleinbedrijf-.
- Ramon Moreno, 2000. "Pegging and macroeconomic performance in East Asia," Pacific Basin Working Paper Series 2000-03, Federal Reserve Bank of San Francisco.
- Eichengreen, Barry & Rose, Andrew & Wyplosz, Charles, 1996. " Contagious Currency Crises: First Tests," Scandinavian Journal of Economics, Wiley Blackwell, vol. 98(4), pages 463-84, December.
- Janine Aron & John Muellbauer, 2002.
"Estimating Monetary Policy Rules for South Africa,"
Central Banking, Analysis, and Economic Policies Book Series,
in: Norman Loayza & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series (ed.), Monetary Policy: Rules and Transmission Mechanisms, edition 1, volume 4, chapter 15, pages 427-476
Central Bank of Chile.
- Janine Aron & John Muellbauer, 2001. "Estimating monetary policy rules for South Africa," CSAE Working Paper Series 2001-07, Centre for the Study of African Economies, University of Oxford.
- Janine Aron & John Muellbauer, 2000. "Estimating Monetary Policy Rules for South Africa," Working Papers Central Bank of Chile 89, Central Bank of Chile.
- Krugman, Paul, 1979. "A Model of Balance-of-Payments Crises," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 11(3), pages 311-25, August.
- Reuven Glick & Ramon Moreno & Mark M. Spiegel, 2001. "Financial crises in emerging markets," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue mar.23.
- Pavan Ahluwalia, 2000. "Discriminating Contagion; An Alternative Explanation of Contagious Currency Crises in Emerging Markets," IMF Working Papers 00/14, International Monetary Fund.
- Steven B. Kamin & John W. Schindler & Shawna L. Samuel, 2001. "The contribution of domestic and external factors to emerging market devaluation crises: an early warning systems approach," International Finance Discussion Papers 711, Board of Governors of the Federal Reserve System (U.S.).
- Reinhart, Carmen & Kaminsky, Graciela, 1999.
"The twin crises: The causes of banking and balance of payments problems,"
14081, University Library of Munich, Germany.
- Carmen M. Reinhart & Graciela L. Kaminsky, 1999. "The Twin Crises: The Causes of Banking and Balance-of-Payments Problems," American Economic Review, American Economic Association, vol. 89(3), pages 473-500, June.
- Reinhart, Carmen & Kaminsky, Graciela, 2000.
"Las crisis gemelas: las causas de los problemas bancarios y de balanza de pagos
[The twin crises: Te causes of banking and balance of payments problems]," MPRA Paper 13842, University Library of Munich, Germany.
- Graciela L. Kaminsky & Carmen M. Reinhart, 1996. "The twin crises: the causes of banking and balance-of-payments problems," International Finance Discussion Papers 544, Board of Governors of the Federal Reserve System (U.S.).
- Kaminsky, Graciela & Lizondo, Saul & Reinhart, Carmen M., 1997.
"Leading indicators of currency crises,"
Policy Research Working Paper Series
1852, The World Bank.
- W. R. M. Perraudin & Manmohan S. Kumar & Uma Moorthy, 2002.
"Predicting Emerging Market Currency Crashes,"
IMF Working Papers
02/7, International Monetary Fund.
- Ranil M Salgado & Luca A Ricci & Francesco Caramazza, 2000. "Trade and Financial Contagion in Currency Crises," IMF Working Papers 00/55, International Monetary Fund.
- Glick, R. & Hutchison, M., 1999.
"Banking and Currency Crises: How Common are Twins?,"
pb99-07, Economisch Institut voor het Midden en Kleinbedrijf-.
- Reuven Glick & Michael M. Hutchison, 1999. "Banking and currency crises; how common are twins?," Proceedings, Federal Reserve Bank of San Francisco, issue Sep.
- Reuven Glick & Michael M. Hutchison, . "Banking and Currency Crises: How Common Are Twins?," EPRU Working Paper Series 99-20, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
- Reuven Glick & Michael Hutchison, 1999. "Banking and currency crises: how common are twins?," Pacific Basin Working Paper Series 99-07, Federal Reserve Bank of San Francisco.
- Libor Krkoska, 2001. "Assessing Macroeconomic Vulnerability in Central Europe," Post-Communist Economies, Taylor & Francis Journals, vol. 13(1), pages 41-55.
- Reinhart, Carmen & Calvo, Guillermo, 2000. "When Capital Inflows Come to a Sudden Stop: Consequences and Policy Options," MPRA Paper 6982, University Library of Munich, Germany.
- Catherine A Pattillo & Andrew Berg, 1998.
"Are Currency Crises Predictable? A Test,"
IMF Working Papers
98/154, International Monetary Fund.
- Hali J. Edison, 2003.
"Do indicators of financial crises work? An evaluation of an early warning system,"
International Journal of Finance & Economics,
John Wiley & Sons, Ltd., vol. 8(1), pages 11-53.
- Hali J. Edison, 2000. "Do indicators of financial crises work? an evaluation of an early warning system," International Finance Discussion Papers 675, Board of Governors of the Federal Reserve System (U.S.).
- Maurice Obstfeld, 1984.
"Rational and Self-Fulfilling Balance-of-Payments Crises,"
NBER Working Papers
1486, National Bureau of Economic Research, Inc.
- Obstfeld, Maurice, 1986. "Rational and Self-fulfilling Balance-of-Payments Crises," American Economic Review, American Economic Association, vol. 76(1), pages 72-81, March.
- Abdul d Abiad, 2003. "Early Warning Systems; A Survey and a Regime-Switching Approach," IMF Working Papers 03/32, International Monetary Fund.
- Peltonen, Tuomas A., 2006. "Are emerging market currency crises predictable? A test," Working Paper Series 0571, European Central Bank.
- Berg, Andrew & Pattillo, Catherine, 1999. "Predicting currency crises:: The indicators approach and an alternative," Journal of International Money and Finance, Elsevier, vol. 18(4), pages 561-586, August.
- Flood, Robert P. & Garber, Peter M., 1984. "Collapsing exchange-rate regimes : Some linear examples," Journal of International Economics, Elsevier, vol. 17(1-2), pages 1-13, August.
When requesting a correction, please mention this item's handle: RePEc:iwh:dispap:19-06. 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: (Tobias Henning)
If references are entirely missing, you can add them using this form.