Determinants of Currency Crises in Emerging Markets: An Empirical Investigation on Turkey
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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| Length: | |
| Date of creation: | Jan 2007 |
| Date of revision: | Jan 2007 |
| Handle: | RePEc:lbo:lbowps:2007_01 |
| Contact details of provider: | Postal: Loughborough, Leicestershire, LE11 3TU Phone: +44 (0) 1509 222701 Fax: +44 (0) 1509 223910 Web page: http://www.lboro.ac.uk/departments/sbe/research/economics/index.html More information through EDIRC
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- KOMULAINEN Tuomas LUKKARILA Johanna, "undated". "What Drives Financial Crises in Emerging Markets?," EcoMod2003 330700082, EcoMod.
- Komulainen, Tuomas & Lukkarila, Johanna, 2003. "What drives financial crises in emerging markets?," Emerging Markets Review, Elsevier, vol. 4(3), pages 248-272, September.
- 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.
- Catherine A Pattillo & Andrew Berg & Gian M Milesi-Ferretti & Eduardo Borensztein, 2000. "Anticipating Balance of Payments Crises--The Role of Early Warning Systems; The Role of Early Warning Systems," IMF Occasional Papers 186, International Monetary Fund. Full references (including those not matched with items on IDEAS)
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