An Anatomy of Currency Crises

Bruce Felmingham () and Lisa Short
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Bruce Felmingham: University of Tasmania, Postal: University of Tasmania
Lisa Short: University of Tasmania, Postal: University of Tasmania

Journal of Economic Integration, 2003, vol. 18, 587-606

Abstract:

We investigate the hypothesis that currency crises are linked to a breakdown in a set of macroeconomic fundamentals, which sparks a speculative attack. A conditional logit model is estimated for 2 7 countries experiencing crises over the period 1980 to 1997. This sample includes countries from the Latin American, European and Asian Pacific regions. The results support the fundamentals hypothesis with characteristics such as domestic credit, international reserves, the real exchange rate, foreign currency ratings and the choice of the exchange rate regime impacting on the crisis probability. The differing impacts of particular characteristics through time and across regions are emphasised.

Keywords: Crises; Fundamentals; Logit; Credit; Deficit; International financial markets (search for similar items in EconPapers)
JEL-codes: G15 (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ris:integr:0250

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