On the Determinants of Currency Crises: The Role of Model Uncertainty

Jesus Crespo Cuaresma and Tomáš Slacík ()
Additional contact information
Tomáš Slacík: Oesterreichische Nationalbank, Foreign Research Division

Focus on European Economic Integration, 2007, issue 2, 54-68

Abstract: In this contribution, we tackle explicitly the issue of model uncertainty in the framework of binary variable models of currency crises. Using Bayesian model averaging techniques, we assess the robustness of the explanatory variables proposed in the recent literature for both static and dynamic models. Our results indicate that the variables belonging to the set of macroeconomic fundamentals proposed by the literature are very fragile determinants of the occurrence of currency crises.

Date: 2007
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.oenb.at/dam/jcr:27e8c307-7ec3-407c-98c ... acik_tcm16-79069.pdf (application/pdf)

Related works:
Journal Article: On the determinants of currency crises: The role of model uncertainty (2009)
Working Paper: On the determinants of currency crises: The role of model uncertainty
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:onb:oenbfi:y:2007:i:2:b:1

Ordering information: This journal article can be ordered from
Oesterreichische Nationalbank, Documentation Management and Communications Services, Otto-Wagner Platz 3, A-1090 Vienna, Austria

Access Statistics for this article

Focus on European Economic Integration is currently edited by Julia Wörz and Elisabeth Beckmann

More articles in Focus on European Economic Integration from Oesterreichische Nationalbank (Austrian Central Bank) P.O. Box 61, A-1011 Vienna, Austria. Contact information at EDIRC.
Bibliographic data for series maintained by Elisabeth Beckmann ().