Currency crises in Asia: A multivariate logit approach
Jan Jacobs (),
Gerard Kuper () and
International Finance from University Library of Munich, Germany
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 compare four different currency crisis definitions, extract a full list of currency crisis indicators from the literature, apply factor analysis to combine the indicators, and introduce dynamics. We find that money growth (M1 and M2), national savings, and import growth correlate with currency crises.
Keywords: financial crises; currency crises; early warning system; panel data; multivariate logit; factor analysis (search for similar items in EconPapers)
JEL-codes: C33 C35 F31 F34 F47 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-dcm and nep-fin
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Working Paper: Currency crises in Asia: a multivariate logit approach (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpif:0409005
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