Currency Crashes in Emerging Markets: Empirical IndicatorsWe use a panel of annual data for over one hundred developing countries from 1971 through 1992 to characterize currency crashes. We define a currency crash as a large change of the nominal exchange rate that is also a substantial increase in the rate of change of nominal depreciation. We examine the composition of the debt as well as its level, and a variety of other macroeconomic factors, external and foreign. Crashes tend to occur when: output growth is low; the growth of domestic credit is high; and the level of foreign interest rates is high. A low ratio of FDI to debt is consistently associated with a high likelihood of a crash. |
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Page 6
... current account deficits , and losses in international reserves . While some of the predictions of these models have been borne out empirically , some speculative attacks have taken place without large apparent monetary and fiscal ...
... current account deficits , and losses in international reserves . While some of the predictions of these models have been borne out empirically , some speculative attacks have taken place without large apparent monetary and fiscal ...
Page 7
... current account to GDP , and the real exchange rate ( which measures competitiveness ) as additional measures of vulnerability to external shocks.3 All have been widely used in the literature Debt Composition The composition of both ...
... current account to GDP , and the real exchange rate ( which measures competitiveness ) as additional measures of vulnerability to external shocks.3 All have been widely used in the literature Debt Composition The composition of both ...
Page 15
... current account is in deficit , this deficit is small ( compared with tranquil observations ) and shrinking . Curiously enough , the government budget situation is very similar to that of the current account ; small shrinking deficits ...
... current account is in deficit , this deficit is small ( compared with tranquil observations ) and shrinking . Curiously enough , the government budget situation is very similar to that of the current account ; small shrinking deficits ...
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Currency Crashes in Emerging Markets: Empirical Indicators Jeffrey A. Frankel,Andrew Rose No preview available - 1996 |
Common terms and phrases
associated z-statistics Bureau of Economic capital inflows commercial bank concessional crash incidence currency crashes currency exposure current account Data mnemonic DT Debt Denominated Debt/GNP DECT deficit define a currency depreciation developing countries domestic credit growth domestic macroeconomic DT DOD DECT Economic Research Equatorial Guinea external variables factors FDI/Debt Foreign Direct Investment foreign interest rates foreign variables fractions of debt Frankel gopher at nber.harvard.edu Gov't Budget government budget graphical Guinea-Bissau Guyana http://nber.harvard.edu international reserves IR/PS Stacks Jeffrey macroeconomic Martin Feldstein maximum likelihood mnemonic BN KLT mnemonic DT DOD Model estimated monetary Multilateral/Debt National Bureau NBER NBER Working Papers Northern Growth northern interest rates Number output growth over-valuation P-Val percentage of GDP portfolio Predicted Crash probit models public sector rate of real ratio real exchange rate real output regressors Republic Sample Size 803 SF(x Somalia speculative attacks U.S. dollar Variable Rate World Data mnemonic z-statistics for hypothesis Zaire Zambia