Leading Indicators of Currency Crises

Graciela Kaminsky (), Saul Lizondo and Carmen Reinhart
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Saul Lizondo: International Monetary Fund

IMF Staff Papers, 1998, vol. 45, issue 1, 1-48

Abstract: This paper examines the empirical evidence on currency crises and proposes a specific early warning system. This system involves monitoring the evolution of several indicators that tend to exhibit an unusual behavior in the periods preceding a crisis. When an indicator exceeds a certain threshold value, this is interpreted as a warning "signal" that a currency crisis may take place within the following 24 months. The variables that have the best track record within this approach include exports, deviations of the real exchange rate from trend, the ratio of broad money to gross international reserves, output, and equity prices.

JEL-codes: F31 F47 (search for similar items in EconPapers)
Date: 1998
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Related works:
Working Paper: Leading Indicators of Currency Crises (1998)
Working Paper: Leading indicators of currency crises (1997)
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Persistent link: https://EconPapers.repec.org/RePEc:pal:imfstp:v:45:y:1998:i:1:p:1-48

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