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Determinants of Currency Crises in Emerging Markets: An Empirical Investigation on Turkey

  • Mete Feridun

    ()

    (Department of Economics, Loughborough University)

This article aims at identifying the determinants of currency crises in Turkey the period 1980:01-2006:06. Following a general-to-specific model selection methodology, a broad set of pre-selected variables were tested through bivariate logit regressions. Significant variables were then used in a multivariate logit model. Strong evidence emerged that current account balance/GDP, short-term debt/long-term debt, domestic credit/GDP, foreign liabilities/foreign assets of banks, and fiscal balance/GDP are significant with correct signs. The measures of goodness-of-fit and in-sample predictive power of the model turned out to be favorable. The resulting model correctly calls 87.18% and 73.08% of the months at 10% and 20% levels, respectively.

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File URL: http://www.lboro.ac.uk/departments/ec/RePEc/lbo/lbowps/mferidun_wp5.pdf
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Paper provided by Department of Economics, Loughborough University in its series Discussion Paper Series with number 2007_01.

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Date of creation: Jan 2007
Date of revision: Jan 2007
Handle: RePEc:lbo:lbowps:2007_01
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Web page: http://www.lboro.ac.uk/departments/sbe/research/economics/index.html

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  1. Michael W. Klein & Nancy P. Marion, 1994. "Explaining the Duration of Exchange-Rate Pegs," NBER Working Papers 4651, National Bureau of Economic Research, Inc.
  2. KOMULAINEN Tuomas LUKKARILA Johanna, . "What Drives Financial Crises in Emerging Markets?," EcoMod2003 330700082, EcoMod.
  3. Herrara, Santiago & Garcia, Conrado, 1999. "User's guide to an early warning system for macroeconomic vulnerability in Latin American countries," Policy Research Working Paper Series 2233, The World Bank.
  4. Jan P.A.M. Jacobs & Gerard H. Kuper & Lestano, 2004. "Currency crises in Asia: A multivariate logit approach," International Finance 0409005, EconWPA.
  5. Tuomas Komulainen & ) & Johanna Lukkarila, 2003. "What drives financial crises in emerging markets?," Macroeconomics 0304010, EconWPA.
  6. Komulainen, Tuomas & Lukkarila, Johanna, 2003. "What drives financial crises in emerging markets?," BOFIT Discussion Papers 5/2003, Bank of Finland, Institute for Economies in Transition.
  7. Catherine A. Pattillo & Andrew Berg & Gian-Maria Milesi-Ferretti & Eduardo Borensztein, 2000. "Anticipating Balance of Payments Crises; The Role of Early Warning Systems," IMF Occasional Papers 186, International Monetary Fund.
  8. Catherine A. Pattillo & Andrew Berg, 1998. "Are Currency Crises Predictable? a Test," IMF Working Papers 98/154, International Monetary Fund.
  9. Jacobs, Jan P.A.M. & Kuper, Gerard H. & Lestano, 2005. "Currency crises in Asia: a multivariate logit approach," CCSO Working Papers 200506, University of Groningen, CCSO Centre for Economic Research.
  10. Komulainen, Tuomas & Lukkarila, Johanna, 2003. "What drives financial crises in emerging markets?," Emerging Markets Review, Elsevier, vol. 4(3), pages 248-272, September.
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