IMF Working Papers

Currency Crises: In Search of Common Elements

By Ranil M Salgado, Jahangir Aziz, Francesco Caramazza

March 1, 2000

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Ranil M Salgado, Jahangir Aziz, and Francesco Caramazza. Currency Crises: In Search of Common Elements, (USA: International Monetary Fund, 2000) 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

The paper seeks to identify common characteristics among a variety of macroeconomic and financial variables for a large sample of currency crises in industrial countries and emerging market economies. It covers crises which culminated in large currency depreciation as well as those in which there was a substantial loss of foreign reserves. The analysis involves comparing the monthly or annual pattern of movement of the various macroeconomic and financial variables around the time of crisis to their behavior during tranquil periods. The robustness of the results is tested by subdividing the sample into different types of currency crises and carrying out a similar analysis for each.

Subject: Banking crises, Currency crises, Emerging and frontier financial markets, Financial crises, Financial markets, Inflation, Prices

Keywords: Banking crises, Banking crisis, Crisis date, Crisis grouping, Crisis sample, Crisis window, Currency Crises, Currency crisis, East Asia, Emerging and frontier financial markets, Equity price, Financial Crisis, Inflation, Inflation rate, Period observation, Real interest rate, Reserves crisis, Sample of crisis, Standard error, Tranquil period, WP

Publication Details

  • Pages:

    55

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2000/067

  • Stock No:

    WPIEA0672000

  • ISBN:

    9781451848892

  • ISSN:

    1018-5941