IDEAS home Printed from https://ideas.repec.org/p/imf/imfwpa/2000-157.html
   My bibliography  Save this paper

What Caused the 1991 Currency Crisis in India?

Author

Listed:
  • Ms. Sweta Chaman Saxena
  • Ms. Valerie Cerra

Abstract

Did real overvaluation contribute to the 1991 currency crisis in India? This paper seeks an answer by constructing the equilibrium real exchange rate, using an error correction model and a technique developed by Gonzalo and Granger (1995). The results are affirmative and the evidence indicates that current account deficits and investor confidence also played significant roles in the sharp exchange rate depreciation. The ECM model is supported by superior out-of-sample forecast performance versus a random walk model.

Suggested Citation

  • Ms. Sweta Chaman Saxena & Ms. Valerie Cerra, 2000. "What Caused the 1991 Currency Crisis in India?," IMF Working Papers 2000/157, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2000/157
    as

    Download full text from publisher

    File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=3794
    Download Restriction: no
    ---><---

    Other versions of this item:

    More about this item

    Keywords

    WP; exchange rate; equilibrium exchange rate; India; Currency Crisis; Error Correction Model; Gonzalo-Granger decomposition; exchange rate depreciation; widening current account imbalance; Indian rupee; price level; exchange rate misalignment; terms of trade; Real exchange rates; Exchange rates; Current account deficits; Current account; Real effective exchange rates; Middle East;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:imf:imfwpa:2000/157. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Akshay Modi (email available below). General contact details of provider: https://edirc.repec.org/data/imfffus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.