Currency Crashes in Emerging Markets: Empirical Indicators

Jeffrey Frankel and Andrew Rose

No 233424, Center for International and Development Economics Research (CIDER) Working Papers from University of California-Berkeley, Department of Economics

Abstract: We use a panel of annual data for over one hundred developing countries from 1971 through 1992 to characterize currency crashes. We define a currency crash as a large change of the nominal exchange rate that is also a substantial increase in the rate of change of nominal depreciation. We examine the composition of the debt as well as its level, and a variety of other macroeconomic factors, external and foreign. Crashes tend to occur when: output growth is low; the growth of domestic credit is high; and the level of foreign interest rates is high. A low ratio of FDI to debt is consistently associated with a high likelihood of a crash.

Keywords: Financial; Economics (search for similar items in EconPapers)
Pages: 36
Date: 1996-01
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Citations: View citations in EconPapers (464)

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Related works:
Working Paper: Currency Crashes in Emerging Markets: Empirical Indicators (1996)
Working Paper: Currency Crashes in Emerging Markets: Empirical Indicators (1996)
Working Paper: Currency Crashes in Emerging Markets: Empirical Indicators (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:ucbewp:233424

DOI: 10.22004/ag.econ.233424

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