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Are Currency Crises Predictable
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Book Synopsis Are Currency Crises Predictable? A Test by : Ms.Catherine A. Pattillo
Download or read book Are Currency Crises Predictable? A Test written by Ms.Catherine A. Pattillo and published by International Monetary Fund. This book was released on 1998-11-01 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper evaluates three models for predicting currency crises that were proposed before 1997. The idea is to answer the question: if we had been using these models in late 1996, how well armed would we have been to predict the Asian crisis? The results are mixed but somewhat encouraging. One model, and our modifications to it, provide useful forecasts, at least compared with a naive benchmark. The head-to-head comparison also sheds light on the economics of currency crises, the nature of the Asian crisis, and issues in the empirical modeling of currency crises.
Book Synopsis Are Currency Crises Predictable? by : Mr.Ilan Goldfajn
Download or read book Are Currency Crises Predictable? written by Mr.Ilan Goldfajn and published by International Monetary Fund. This book was released on 1997-12-01 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies whether exchange rate expectations and overvaluations are predictors of currency crises. The results suggest that overvaluation has predictive power in explaining crises. However, although expected depreciation obtained from survey data partially takes different measures of exchange rate misalignment into consideration, expectations fail to anticipate currency crises.
Book Synopsis Are Emerging Market Currency Crises Predictable? by : Tuomas A. Peltonen
Download or read book Are Emerging Market Currency Crises Predictable? written by Tuomas A. Peltonen and published by . This book was released on 2006 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Perspectiveon Predicting Currency Crises by : Juan Yepez
Download or read book A Perspectiveon Predicting Currency Crises written by Juan Yepez and published by International Monetary Fund. This book was released on 2010-10-01 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: Currency crises are difficult to predict. It could be that we are choosing the wrong variables or using the wrong models or adopting measurement techniques not up to the task. We set up a Monte Carlo experiment designed to evaluate the measurement techniques. In our study, the methods are given the right fundamentals and the right models and are evaluated on how closely the estimated predictions match the objectively correct predictions. We find that all methods do reasonably well when fundamentals are explosive and all do badly when fundamentals are merely highly volatile.
Book Synopsis Perspectives on the Recent Currency Crisis Literature by : Robert P. Flood
Download or read book Perspectives on the Recent Currency Crisis Literature written by Robert P. Flood and published by International Monetary Fund. This book was released on 1998-09 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the 1990s, currency crises in Europe, Mexico and Southeast Asia have drawn worldwide attention to speculative attacks on government-controlled exchange rates. To improve our understanding of these events, researchers have undertaken new theoretical and empirical work. In this paper, we provide some perspective on this work and relate it to earlier research in the area. Then we derive the optimal commitment to a fixed exchange rate and propose a common framework for analyzing currency crises that draws from both the early first-generation work and the more recent second-generation approach. The cross-generational framework stresses the important role of speculators and also recognizes that the government's commitment to a fixed exchange rate is constrained by other policy goals. In the final section we study the crisis prediction literature and find that some crises may be particularly difficult to predict using currently popular methods.
Book Synopsis Preventing Currency Crises in Emerging Markets by : Sebastian Edwards
Download or read book Preventing Currency Crises in Emerging Markets written by Sebastian Edwards and published by University of Chicago Press. This book was released on 2009-02-15 with total page 783 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economists and policymakers are still trying to understand the lessons recent financial crises in Asia and other emerging market countries hold for the future of the global financial system. In this timely and important volume, distinguished academics, officials in multilateral organizations, and public and private sector economists explore the causes of and effective policy responses to international currency crises. Topics covered include exchange rate regimes, contagion (transmission of currency crises across countries), the current account of the balance of payments, the role of private sector investors and of speculators, the reaction of the official sector (including the multilaterals), capital controls, bank supervision and weaknesses, and the roles of cronyism, corruption, and large players (including hedge funds). Ably balancing detailed case studies, cross-country comparisons, and theoretical concerns, this book will make a major contribution to ongoing efforts to understand and prevent international currency crises.
Book Synopsis Three Essays on the Prediction and Identification of Currency Crises by : Pauline Kennedy
Download or read book Three Essays on the Prediction and Identification of Currency Crises written by Pauline Kennedy and published by . This book was released on 2003 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Currency Crises in Developed and Emerging Market Economies by : Thomson Fontaine
Download or read book Currency Crises in Developed and Emerging Market Economies written by Thomson Fontaine and published by International Monetary Fund. This book was released on 2005 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper takes a step in empirically testing the implications of a number of theoretical models that attempt to highlight the dynamics behind currency crises. By focusing on countries with broadly disparate economic and political arrangements, the study attempts to determine the extent to which these variables matter in affecting the probabilities of currency crises occurring. The empirical findings provide support for the view that, in general, a deterioration in economic fundamentals and the pursuit of lax monetary policy can contribute to currency crises. The experiences of several emerging market economies suggests that the sustainability of exchange rate policy depends both on adequate policy responses to the shocks to the economy and on the fragility of the economic, financial, and political system.
Book Synopsis A Leading Indicators Approach to the Predictability of Currency Crises by : Bengi Kibritcioglu
Download or read book A Leading Indicators Approach to the Predictability of Currency Crises written by Bengi Kibritcioglu and published by . This book was released on 2001 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 specific survey data can be considered as major leading economic indicators of currency crises in Turkey.
Book Synopsis Currency Crises Prediction and Contagion Effects Measurement Using a Nested Logit Model by : Kit-Ming Yan
Download or read book Currency Crises Prediction and Contagion Effects Measurement Using a Nested Logit Model written by Kit-Ming Yan and published by . This book was released on 2002 with total page 444 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On the Predictability of Currency Crises by : Riad Dahel
Download or read book On the Predictability of Currency Crises written by Riad Dahel and published by . This book was released on 2000 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Assessing Banking and Currency Crisis Risk in Small States by : Carlo Pizzinelli
Download or read book Assessing Banking and Currency Crisis Risk in Small States written by Carlo Pizzinelli and published by International Monetary Fund. This book was released on 2021-11-19 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: To complement the early warning signals literature, we study the determinants of banking and currency crises for small states and currency boards. Building on the crisis dataset by Laeven and Valencia (2020), we estimate a binominal logit model to identify the determinants of crises, and as a case study, we apply our models to the Eastern Caribbean Currency Union (ECCU). Our findings largely confirm past studies’ results that both external and domestic fundamentals matter in predicting crisis likelihood, but we find that small states and fixed exchange rate regimes are more sensitive to these fundamentals, compared to larger economies. Our empirical results also suggest that for currency board economies, keeping a high level of the foreign reserve cover—the “backing ratio” defined as official foreign reserves as a share of central bank demand liabilities—is critical to reduce the likelihood of both banking and currency crises. The backing ratio is particularly important during years of global economic downturn.
Book Synopsis Assessing Early Warning Systems by : Andrew Berg
Download or read book Assessing Early Warning Systems written by Andrew Berg and published by International Monetary Fund. This book was released on 2004-03 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since 1999, the IMF's staff has been tracking several early-warning-system (EWS) models of currency crisis. The results have been mixed. One of the long-horizon models has performed well relative to pure guesswork and to available non-model-based forecasts, such as agency ratings and private analysts' currency crisis risk scores. The data do not speak clearly on the other long-horizon EWS model. The two short-horizon private sector models generally performed poorly.
Book Synopsis The Determinants of Currency Crises by : B. Rother
Download or read book The Determinants of Currency Crises written by B. Rother and published by Palgrave MacMillan. This book was released on 2009-04-17 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: A lot of research has been carried out on currency crises, but the existing literature largely fails to adequately recognize the role of politics in creating financial turbulence. This book explains the role of political factors in the occurrence of currency crises. It starts out with a discussion of political developments in four prominent crisis cases, including Turkey and Argentina in the early 2000s, before discussing various extensions of a workhorse model of the economics literature, two of which are original, to show how upcoming elections, intra-governmental conflict, and lobbying activity can impact the stability of an exchange rate regime. The econometric analysis uses a diverse sample of 69 countries over 1975-97 to determine whether the inclusion of political variables can make a difference in crisis prediction without adding too much complexity, compared with standard early-warning-systems models that rely exclusively on macroeconomic fundamentals. This book provides a thorough and in-depth report, seeking to translate concepts from the discipline of political science into the language of economics. It is essential reading for all interested in international political economy and financial crises.
Book Synopsis Currency and Banking Crises by : Graciela L. Kaminsky
Download or read book Currency and Banking Crises written by Graciela L. Kaminsky and published by . This book was released on 1998 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Crises Explanations, Types, and Implications by : Mr.Stijn Claessens
Download or read book Financial Crises Explanations, Types, and Implications written by Mr.Stijn Claessens and published by International Monetary Fund. This book was released on 2013-01-30 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews the literature on financial crises focusing on three specific aspects. First, what are the main factors explaining financial crises? Since many theories on the sources of financial crises highlight the importance of sharp fluctuations in asset and credit markets, the paper briefly reviews theoretical and empirical studies on developments in these markets around financial crises. Second, what are the major types of financial crises? The paper focuses on the main theoretical and empirical explanations of four types of financial crises—currency crises, sudden stops, debt crises, and banking crises—and presents a survey of the literature that attempts to identify these episodes. Third, what are the real and financial sector implications of crises? The paper briefly reviews the short- and medium-run implications of crises for the real economy and financial sector. It concludes with a summary of the main lessons from the literature and future research directions.
Book Synopsis Interpreting the Asian Currency Crisis by : Hoon Kim
Download or read book Interpreting the Asian Currency Crisis written by Hoon Kim and published by . This book was released on 2002 with total page 554 pages. Available in PDF, EPUB and Kindle. Book excerpt:
