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Indicators of Currency Crisis: Empirical Analysis of some Emerging and Transition Economies

  • Malgorzata Jakubiak
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    This paper focuses on the measurement of a contemporaneous currency crisis. The analysis covers 14 "emerging" or "transforming" economies that experienced episodes of currency crises over the last decade. It adds to well-known examples relatively littleknown evidence on the crisis depth in some of the CIS countries. Following the Eichengreen, Rose, and Wyplosz (1994) definition of a currency crisis, the emphasis is primarily put on the examination of changes in relative reserves, exchange rates, and real interest rates during periods of exchange rate pressure. Other measures of the depth of a currency crisis as well as measures of external vulnerability are also discussed. The findings support the adequacy of the Eichengreen, Rose, and Wyplosz (1994) definition in analyzing crisis developments in emerging economies.

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    File URL: http://www.case-research.eu/upload/publikacja_plik/SA218.pdf
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    Paper provided by CASE-Center for Social and Economic Research in its series CASE Network Studies and Analyses with number 0218.

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    Length: 24 Pages
    Date of creation: 2000
    Date of revision:
    Handle: RePEc:sec:cnstan:0218
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    1. Barry Eichengreen & Andrew K. Rose & Charles Wyplosz, 1995. "Speculative attacks on pegged exchange rates: an empirical exploration with special reference to the European Monetary System," Working Papers in Applied Economic Theory 95-04, Federal Reserve Bank of San Francisco.
    2. Andrew Berg, 1999. "The Asia Crisis; Causes, Policy Responses and Outcomes," IMF Working Papers 99/138, International Monetary Fund.
    3. Nada Choueiri & Graciela Laura Kaminsky, 1999. "Has the Nature of Crises Changed? A L1812Quarter Century of Currency Crises in Argentina," IMF Working Papers 99/152, International Monetary Fund.
    4. Roberto Chang & Andrés Velasco, 2000. "Liquidity Crises in Emerging Markets: Theory and Policy," NBER Chapters, in: NBER Macroeconomics Annual 1999, Volume 14, pages 11-78 National Bureau of Economic Research, Inc.
    5. Julius Horvath, 1999. "The May 1997 Currency Crisis in the Czech Republic," Post-Communist Economies, Taylor & Francis Journals, vol. 11(3), pages 277-298.
    6. Timothy D. Lane & Marianne Schulze-Gattas & T. M. Tsikata & Steven Phillips & Atish R. Ghosh & A. Javier Hamann, 1999. "IMF-Supported Programs in Indonesia, Korea and Thailand," IMF Occasional Papers 178, International Monetary Fund.
    7. Angel J. Ubide & Tomás J. T. Baliño, 1999. "The Korean Financial Crisis of 1997 ; A Strategy of Financial Sector Reform," IMF Working Papers 99/28, International Monetary Fund.
    8. Rafal Antczak, 2000. "Theoretical Aspects of Currency Crises," CASE Network Studies and Analyses 0211, CASE-Center for Social and Economic Research.
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