Is there a relationship between fiscal sustainability and currency crises? International evidence based on causality tests

Cruz-Rodríguez, Alexis (2014): Is there a relationship between fiscal sustainability and currency crises? International evidence based on causality tests. Published in: International Journal of Economic Sciences and Applied Research , Vol. 7, No. 1 (2014): pp. 69-87.

Abstract

This paper uses Granger causality tests on a fiscal sustainability indicator (FSI) and currency crises for 17 countries to evaluate the direction of causality between the FSI and currency crises. The FSI developed by Croce and Juan-Ramón (2003) is used. Also, different definitions for currency crises are used to evaluate whether they induce different results in the analysis. In general, the results suggest evidence of causality between the lagged FSI and currency crises.

• Item Type: MPRA Paper
• Language: English
• Keywords: Currency crisis, foreign exchange, fiscal sustainability, Granger causality
• Subjects: E - Macroeconomics and Monetary Economics > E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook > E62 - Fiscal Policy; F - International Economics > F3 - International Finance > F31 - Foreign Exchange; F - International Economics > F3 - International Finance > F33 - International Monetary Arrangements and Institutions

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