A Model of the Joint Distribution of Banking and Exchange-Rate Crises

December 1, 2001

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Format: Chicago

Nancy P. Marion, and Robert P Flood. A Model of the Joint Distribution of Banking and Exchange-Rate Crises, (USA: International Monetary Fund, 2001) accessed November 21, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

We develop a simple framework for studying the joint distribution of banking and currency crises triggered by real shocks. Our framework illustrates the fact that bank and currency collapses are related but they are not the same thing. Studying currency and bank collapses either in isolation or in perfect correlation with each other is inappropriate, producing biased estimates of the likelihood of crises.

Subject: Banking, Central banks, Conventional peg, Currencies, Domestic credit, Exchange rates, Foreign exchange, International reserves, Money

Keywords: Bank assets, Bank collapse, Bank crisis, Bank return, Break-even point, Central bank, Conventional peg, Currencies, Currency collapse, Currency crisis, Domestic credit, Exchange rate, Exchange rates, Foreign currency, International reserves, WP

Publication Details

Pages:

32
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2001/213
Stock No:

WPIEA2132001
ISBN:

9781451874945
ISSN:

1018-5941

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