A Model of the Joint Distribution of Banking and Exchange-Rate Crises

Nancy Marion and Robert Flood

No 2001/213, IMF Working Papers from International Monetary Fund

Abstract: We develop a simple framework for studying the joint distribution of banking and currency crises triggered by real shocks. Our framework illustrates the fact that bank and currency collapses are related but they are not the same thing. Studying currency and bank collapses either in isolation or in perfect correlation with each other is inappropriate, producing biased estimates of the likelihood of crises.

Keywords: WP; exchange rate; break-even point; foreign currency; bank collapse; central bank; Currency crisis; bank crisis; currency collapse; bank assets; bank return; Currencies; Exchange rates; Conventional peg; Domestic credit; International reserves (search for similar items in EconPapers)
Pages: 32
Date: 2001-12-01
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Citations: View citations in EconPapers (6)

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