A Perspectiveon Predicting Currency Crises
Robert P Flood,
Juan Yepez and
Nancy Marion ()
No 10/227, IMF Working Papers from International Monetary Fund
Currency crises are difficult to predict. It could be that we are choosing the wrong variables or using the wrong models or adopting measurement techniques not up to the task. We set up a Monte Carlo experiment designed to evaluate the measurement techniques. In our study, the methods are given the right fundamentals and the right models and are evaluated on how closely the estimated predictions match the objectively correct predictions. We find that all methods do reasonably well when fundamentals are explosive and all do badly when fundamentals are merely highly volatile.
Keywords: Currency crises; Currencies; Economic forecasting; Devaluation; Financial crisis; Forecasting models; Speculative attacks, fixed exchange rate, Monte Carlo, probabilities, standard deviation, probability, correlation, (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-for and nep-ifn
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:imf:imfwpa:10/227
Ordering information: This working paper can be ordered from
Access Statistics for this paper
More papers in IMF Working Papers from International Monetary Fund International Monetary Fund, Washington, DC USA. Contact information at EDIRC.
Series data maintained by Jim Beardow ().