Exchange Arrangements and Currency Crises: What´s the matter with the exchange rate classification?

Alexis Cruz-Rodriguez

Journal of Economics and Political Economy, 2016, vol. 3, issue 2, 377-392

Abstract: The purpose of this paper is to empirically investigate whether certain exchange rate arrangements are more prone to currency crises using a probit model. We define a currency crisis as a period characterised by the presence of intense foreign exchange market pressure. The definition is based on a foreign exchange market pressure index (MPI). If the value of the MPI is above a certain threshold, we define that period as a crisis state; otherwise the period is defined as a tranquil state. The definition of currency crises used in this paper focuses on discrete events.

Keywords: Exchange rate regimes; currency crises; speculative attacks. (search for similar items in EconPapers)
JEL-codes: F10 F31 F32 (search for similar items in EconPapers)
Date: 2016
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Working Paper: Exchange Arrangements and Currency Crises: What´s the matter with the exchange rate classification? (2016)
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