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A Leading Indicators Approach to the Predictability of Currency

Author

Listed:
  • Bengi Kibritcioglu

    (Undersecretariat of Treasury, Turkey)

  • Bulent Kose

    (Undersecretariat of Treasury, Turkey)

  • Gamze Ugur

    (Undersecretariat of Treasury, Turkey)

Abstract

In this paper, we present a leading economic indicators approach to the predictability of currency crises in Turkey. After summarizing main theoretical models of currency crises and discussing the possible origins of financial crises in the European ERM countries (1992-93), Turkey (1994) and Southeast Asian countries (1997-98), we survey the empirical literature on the predictability of currency crises. Our leading economic indicators approach based on Burns and Mitchell (1946) shows that terms-of-trade, market-determined exchange rate over official exchange rate and some survey data can be considered as leading economic indicators of currency crises in Turkey.

Suggested Citation

  • Bengi Kibritcioglu & Bulent Kose & Gamze Ugur, 2001. "A Leading Indicators Approach to the Predictability of Currency," International Finance 0108001, University Library of Munich, Germany, revised 06 Sep 2001.
  • Handle: RePEc:wpa:wuwpif:0108001
    Note: Type of Document - PDF; prepared on IBM PC; to print on Any printer/A4 sized paper; pages: 27 ; figures: included
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    References listed on IDEAS

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    Cited by:

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    2. Ivo Krznar, 2004. "Currency Crisis: Theory and Practice with Application to Croatia," Working Papers 12, The Croatian National Bank, Croatia.
    3. Mete Feridun, 2009. "Determinants of Exchange Market Pressure in Turkey: An Econometric Investigation," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 45(2), pages 65-81, March.
    4. Peiwan Wang & Lu Zong & Ye Ma, 2019. "An Integrated Early Warning System for Stock Market Turbulence," Papers 1911.12596, arXiv.org.
    5. Sevim, Cuneyt & Oztekin, Asil & Bali, Ozkan & Gumus, Serkan & Guresen, Erkam, 2014. "Developing an early warning system to predict currency crises," European Journal of Operational Research, Elsevier, vol. 237(3), pages 1095-1104.
    6. Mete Feridun, 2006. "How Far Can Domestic Credit Growth Explain Speculative Attacks? Empirical Evidence from Turkey," Discussion Paper Series 2006_23, Department of Economics, Loughborough University, revised Dec 2006.

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    More about this item

    Keywords

    Leading economic indicators; predictability of currency crises; Turkey;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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