Empirics of Currency Crises: A Duration Analysis Approach

Mohammad Karimi (mkari096@uottawa.ca) and Marcel Voia
Additional contact information
Mohammad Karimi: Department of Economics, University of Ottawa, https://sites.google.com/site/mohammadkarimizarkani/home

No 11-11, Carleton Economic Papers from Carleton University, Department of Economics

Abstract: This paper analyzes the origins of currency crises for 20 OECD countries and South Africa from 1970 through 1998. The main contributions are in three areas. First, it tests for contagious crises and attempts to recognize contagion channels by employing a duration analysis. Second, to minimize the concerns regarding the accuracy of identified crisis episodes, our paper uses crisis episodes that are identified by a relatively more objective method based on extreme value theory. Third, we make use of several robustness checks, including running our models on two different crisis episodes sets that are identified based on monthly and quarterly type spells. Our findings show that high values of volatility of unemployment rates, inflation rates, unemployment rates, real effective exchange rate, trade openness, and size of economy, and contagion factors(which mostly work through trade channels) increases the hazard of a crisis.

Keywords: International finance; exchange rate; crises. (search for similar items in EconPapers)
JEL-codes: F31 G01 (search for similar items in EconPapers)
Pages: 49 pages
Date: 2011-11-16
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Published: Carleton Economic Papers

Downloads: (external link)
http://www.carleton.ca/economics/wp-content/uploads/cep11-11.pdf

Related works:
Journal Article: Empirics of currency crises: A duration analysis approach (2019)
Working Paper: Empirics of currency crises: A duration analysis approach (2019)
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:car:carecp:11-11

Ordering information: This working paper can be ordered from
economics@carleton.ca

Access Statistics for this paper

More papers in Carleton Economic Papers from Carleton University, Department of Economics C870 Loeb Building, 1125 Colonel By Drive, Ottawa Ontario, K1S 5B6 Canada.
Bibliographic data for series maintained by Court Lindsay (courtney.lindsay@carleton.ca).