Are Currency Crises Predictable?

Rodrigo Valdés and Ilan Goldfajn

No 1997/159, IMF Working Papers from International Monetary Fund

Abstract: This paper studies whether exchange rate expectations and overvaluations are predictors of currency crises. The results suggest that overvaluation has predictive power in explaining crises. However, although expected depreciation obtained from survey data partially takes different measures of exchange rate misalignment into consideration, expectations fail to anticipate currency crises.

Keywords: WP; crisis; devaluation; crisis episode; devaluation rate; exchange rate crisis; nominal devaluation; overvaluation measure; misalignment estimate; balance-of-payments crisis; crisis month; devaluation measure; Real exchange rates; Currency crises; Cyclical indicators; Exchange rates (search for similar items in EconPapers)
Pages: 19
Date: 1997-12-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (43)

Downloads: (external link)
http://www.imf.org/external/pubs/cat/longres.aspx?sk=2408 (application/pdf)

Related works:
Journal Article: Are currency crises predictable? (1998)
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:imf:imfwpa:1997/159

Ordering information: This working paper can be ordered from
http://www.imf.org/external/pubs/pubs/ord_info.htm

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.
Bibliographic data for series maintained by Akshay Modi ().