Currency Crises in the Post-Bretton Woods Era: A New Dataset of Large Depreciations

Alexander Culiuc and Hyunmin Park

No 2025/221, IMF Working Papers from International Monetary Fund

Abstract: We introduce a novel dataset of large depreciations worldwide since 1971. First, we use a multi-step approach to accurately pinpoint large depreciation events on monthly data. We then construct large depreciation episodes that cover 24 months after the initial depreciation event. The month-level data allows for a granular characterization of the dynamics of large depreciations across multiple metrics, including maximum and equilibrium depreciations, overshooting, and number of depreciation events within a single episode. We then present stylized facts on episodes across various characteristics and groups (income, REER trajectory, number of events, exchange rate flexibility, and IMF-supported program status). Among these: (i) a few months into an episode, REER tends to appreciate unless there is an “aftershock” depreciation, (ii) attempts to peg following the initial depreciation are associated with a higher likelihood of “aftershocks”, and (iii) equilibrium REER depreciations are largest when an IMF-supported program is put in place after the initial depreciation takes place.

Keywords: exchange rate; crisis; inflation; real exchange rate; overshoooting; equilibrium depreciation; depreciation event; depreciation episode; IMF working papers; large depreciation; Depreciation; Exchange rates; Currencies; Real effective exchange rates; Exchange rate flexibility; Global; Central and Eastern Europe; South America; Central America; Caribbean; Eastern Europe (search for similar items in EconPapers)
Pages: 64
Date: 2025-10-31
New Economics Papers: this item is included in nep-his, nep-mon and nep-opm
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