Currency crises in Asia: a multivariate logit approach
Jan Jacobs (),
Gerard Kuper () and
No 200506, CCSO Working Papers from University of Groningen, CCSO Centre for Economic Research
Indicators of financial crisis generally do not have a good track record. This paper presents an early warning system (EWS) for six countries in Asia in which indicators do work. Our binary choice model, which has been estimated for the period 1970:01?2001.12, has the following features. We extract a full list of currency crisis indicators from the literature, apply factor analysis to combine the indicators, and introduce dynamics. The quality of the EWS is assessed both in-sample and out-of-sample. We find that money growth (M1 and M2), national savings, and import growth correlate with currency crises.
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Working Paper: Currency crises in Asia: A multivariate logit approach (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:gro:rugccs:200506
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