Reinhart, Carmen and Kaminsky, Graciela and Lizondo, Saul (1998): Leading Indicators of Currency Crises. Published in: IMF Staff Papers , Vol. 45, No. 1 (March 1998): pp. 1-48.
Download (2MB) | Preview
This papers examines the empirical literature on currency crises and proposes a specific early warning system. This system involves monitoring the evolution of several indicators that tend to exhibit unusual behaviorin the periods preceding a crisis. When an indicator exceeds a certain threshold value, this is interpreted as a warning "signal" that a currency crisis may take place within the following 24 months. The variables that have the best track record within this approach include exports, deviations of the real exchange rate from trend, the ratio of broad money to international reserves, output, and equity prices.
|Item Type:||MPRA Paper|
|Original Title:||Leading Indicators of Currency Crises|
|Keywords:||financial crisis, currency, indicators, banking|
|Subjects:||F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance
F - International Economics > F3 - International Finance
E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles
|Depositing User:||Carmen Reinhart|
|Date Deposited:||13. Feb 2008 09:26|
|Last Modified:||11. Feb 2013 16:45|