Currency Crises: In Search of Common Elements

Ranil Salgado, Jahangir Aziz and Francesco Caramazza

No 2000/067, IMF Working Papers from International Monetary Fund

Abstract: The paper seeks to identify common characteristics among a variety of macroeconomic and financial variables for a large sample of currency crises in industrial countries and emerging market economies. It covers crises which culminated in large currency depreciation as well as those in which there was a substantial loss of foreign reserves. The analysis involves comparing the monthly or annual pattern of movement of the various macroeconomic and financial variables around the time of crisis to their behavior during tranquil periods. The robustness of the results is tested by subdividing the sample into different types of currency crises and carrying out a similar analysis for each.

Keywords: WP; currency crisis; crisis window; real interest rate; standard error; banking crisis; Currency Crises; Financial Crisis; crisis date; crisis sample; equity price; crisis grouping; reserves crisis; inflation rate; tranquil period; period observation; sample of crisis; Emerging and frontier financial markets; Banking crises; Inflation; East Asia (search for similar items in EconPapers)
Pages: 55
Date: 2000-03-01
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Citations: View citations in EconPapers (81)

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