Determinants of Currency Crises in Emerging Markets: An Empirical Investigation on Turkey

Mete Feridun

Discussion Paper Series from Department of Economics, Loughborough University

Abstract: 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.

Keywords: Speculative attacks; currency crises; logit model, Turkey. (search for similar items in EconPapers)
JEL-codes: E44 F30 (search for similar items in EconPapers)
Date: 2007-01, Revised 2007-01
New Economics Papers: this item is included in nep-cwa, nep-ifn and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.lboro.ac.uk/departments/ec/RePEc/lbo/lbowps/mferidun_wp5.pdf
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.lboro.ac.uk/departments/ec/RePEc/lbo/lbowps/mferidun_wp5.pdf [301 Moved Permanently]--> https://www.lboro.ac.uk/departments/ec/RePEc/lbo/lbowps/mferidun_wp5.pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:lbo:lbowps:2007_01

Access Statistics for this paper

More papers in Discussion Paper Series from Department of Economics, Loughborough University Contact information at EDIRC.
Bibliographic data for series maintained by Huw Edwards ().