Determinants of Currency Crises in Emerging Markets: The Case of Turkey

Çeşmeci, Özge and Önder, A. Özlem
Authors registered in the RePEc Author Service: A. Özlem Önder ()

Emerging Markets Finance and Trade, 2008, vol. 44, issue 5, pages 54-67

Abstract: This paper investigates possible determinants of currency crises in Turkey. We use three different techniques—namely, the signaling approach, structural model, and Markov switching model with monthly data for the period 1992-2004. The results show that money market pressure index, real-sector confidence index, and public-sector variables are significant in explaining currency crises. Hence, one can say that banking crises lead to currency crises. Central banks' real-sector confidence index may be a good leading indicator for currency crises.

Keywords: currency crises; exchange rate pressure index; Markov switching model; money market pressure index; signal approach; structural model (search for similar items in EconPapers)
Date: 2008
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Persistent link: http://EconPapers.repec.org/RePEc:mes:emfitr:v:44:y:2008:i:5:p:54-67

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