Determinants of currency disturbances in transition economies of Central and Eastern Europe

Ahec Šonje, Amina and Babić, Ante and Mlinarević, Katarina (2003): Determinants of currency disturbances in transition economies of Central and Eastern Europe. Published in: Croatian Economic Survey No. 6 (April 2004): pp. 97-138.

Abstract

In this paper we explores how the “signal” approach can be used to examine determinants of currency disturbances in transition economies during 1990s. We construct the measure of currency disturbance – index of foreign exchange market pressure as a referent series. The “signals” approach is used in constructing an effective system of early warning indicators for each country. The system monitors the behavior of various macroeconomic and financial variables that exhibit an unusual pattern in the periods preceding a disturbance or crisis. By comparing the resulting systems of early warning indicators we are searching for the common determinants of currency disturbances in transition countries in the sample.

• Item Type: MPRA Paper
• Language: English
• Keywords: currency crises, the “signals” approach, early warning indicators, transition countries
• Subjects: F - International Economics > F3 - International Finance > F31 - Foreign Exchange; F - International Economics > F3 - International Finance > F32 - Current Account Adjustment ; Short-Term Capital Movements; F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F47 - Forecasting and Simulation: Models and Applications

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