Download or read book Leading Indicators of Currency Crises written by Graciela Laura Kaminsky and published by International Monetary Fund. This book was released on 1997-07-01 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the empirical evidence on currency crises and proposes a specific early warning system. This system involves monitoring the evolution of several indicators that tend to exhibit an unusual behavior in 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 gross international reserves, output, and equity prices.
Download or read book Leading Indicators of Currency Crises written by Müge Ant and published by World Bank Publications. This book was released on 2002 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Leading Indicators of Currency Crises written by Graciela Kaminsky and published by . This book was released on 2006 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the empirical evidence on currency crises and proposes a specific early warning system. This system involves monitoring the evolution of several indicators that tend to exhibit an unusual behavior in the periods preceding a crisis. When an indicator exceeds a certain threshold value, this is interpreted as a warning quot;signalquot; 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 gross international reserves, output, and equity prices.
Download or read book Leading Indicators of Currency Crises written by Carmen Reinhart and published by . This book was released on 2016 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the empirical evidence on currency crises and proposes a specific early warning system. This system involves monitoring the evolution of several indicators that tend to exhibit an unusual behavior in 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 gross international reserves, output, and equity prices.
Download or read book Leading Indicators of Currency Crises written by and published by . This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The efficiency of early warning indicators for financial crises written by Jens Michael Rabe and published by diplom.de. This book was released on 2000-03-30 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inhaltsangabe:Abstract: The banking and currency crises of the last two decades inflicted substantial financial, economic, and social damage on the countries in which they originated. In this work, the efficiency of early warning indicators for these disastrous economic events is evaluated. An analysis of the traditional and recent literature on currency crises is performed in order to extract potential early warning indicators that are suggested by theory. Alongside others, these candidate indicators are tested in alternative empirical studies that are reviewed in this work. The results are mixed, but somewhat encouraging for further research in this field. Furthermore, the analysis is extended to a critique of systems of early warning indicators currently used by international institutions. Inhaltsverzeichnis:Table of Contents: 1.Introduction1 2.The Currency Crisis Literature as a Reference Point for the Identification of Early Warning Indicators4 2.1The Traditional Theory5 2.2Second Generation Models11 2.3A Cross-generation Framework Proposition19 2.4Early Warning Indicators as Suggested by Theory22 3.The Empirical Assessment of Early Warning Indicators24 3.1Univariate Indicators for Financial Crises24 3.1.1Cross-Country Regressions26 3.1.2Multivariate Probit Models35 3.1.3The Signals Approach40 3.2Composite Leading Indicators for Financial Crises48 4.A Critique of Early Warning Indicators Used in Practice53 5.Conclusion64 Appendix68 Bibliography69
Download or read book Early Indicators of Currency Crises Review of Some Literature written by Magdalena Tomczynska and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial crises have become relatively frequent events since the beginning of the 1980s. They have taken three main forms: currency crises, banking crises, or both - so called twin crises. As the number of developed economies, developing countries, and economies in transition experienced severe financial crashes researchers are trying to propose a framework for systemic analyses. That is why attempts to advance the understanding of features leading to the outbreak of financial crisis as well as the reasons of vulnerability have become more and more important. In recent years a number of efforts have been undertaken to identify variables that act as early warning signals for crises. The purpose of this paper is to provide some perspective on the issue of early warning signals of vulnerability to currency crises. In particular, it is aimed at presenting and highlighting the main findings of theoretical literature in this area. An effective warning system should consider a broad variety of indicators, as currency crises seem to be usually associated with multiple economic and sometimes political problems. Indicators that have proven to be particularly useful in anticipating crises and received empirical support include the development of international reserves, real exchange rate, domestic credit, credit to the public sector, domestic inflation, and structure and financing of public debt. Other indicators that have found support are trade balance, export performance, money growth, M2/international reserves ratio, foreign interest rates, real GDP growth, and fiscal deficit. Many of the proposed leading indicators have been able to predict particular crises, however, only few have showed ability to do so consistently. Generally, economic models can be said to be more successful in predicting crises that erupt because of weak fundamentals, which make country vulnerable to adverse shocks. They are less likely in anticipating crises due to selffulfilling expectations or pure contagion effects. So far economists are only able to identify situations in which an economy could face the risk of a financial crisis. This is most because of the well-known fact that if we knew the crisis would have already occurred. Warning indicators seem to be unlikely to predict crises in precise way but their analyses can provide extended information about impending problems what enables to take preventive measures.
Download or read book Leading Indicators of Country Risk and Currency Crisis written by Fang Dong and published by . This book was released on 2002 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Currency and Banking Crises written by Graciela Laura Kaminsky and published by International Monetary Fund. This book was released on 1999-12-01 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: The abruptness and virulence of the 1997 Asian crises have led many to claim that these crises are of a new breed and were thus unforecastable. This paper examines 102 financial crises in 20 countries and concludes that the Asian crises are not of a new variety. Overall, the 1997 Asian crises, as well as previous crises elsewhere, occur when economies are in distress, making the degree of fragility of the economy a useful indicator of future crises. Based on this idea, the paper proposes different composite leading indicators of crises, evaluated in terms of accuracy both in-sample and out-of-sample.
Download or read book Leading Indicators of Banking Crises written by International Monetary Fund and published by International Monetary Fund. This book was released on 1998-06-01 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines episodes of the banking system distress and crisis in a large sample of countries. The empirical results identify several macroeconomic and financial variables as useful leading indicators. The main macroeconomic indicators were of limited value in predicting the Asian crises; the best warning signs were proxies for the vulnerability of the banking and corporate sector. Full-blown banking crises are shown to be more associated with external developments, and domestic variables are the main leading indicators of severe but contained banking distress.
Download or read book Leading Indicators of Currency Crises in Emerging Economies written by Olivier Burkart and published by . This book was released on 2000 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Leading Indicators Approach to the Predictability of Currency Crises written by Bengi Kibritcioglu and published by . This book was released on 2001 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we present a leading economic indicators approach to the predictability of currency crises in Turkey. After summarizing main theoretical models of currency crises and discussing the possible origins of financial crises in the European ERM countries (1992-93), Turkey (1994) and Southeast Asian countries (1997-98), we survey the empirical literature on the predictability of currency crises. Our leading economic indicators approach based on Burns and Mitchell (1946) shows that terms-of-trade, market-determined exchange rate over official exchange rate and some specific survey data can be considered as major leading economic indicators of currency crises in Turkey.
Download or read book Leading Indicators of Country Risk and Currency Crises the Asian Experience written by Marcelle Chauvet and published by . This book was released on 2008-04 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article aims to construct an early warning system for international currency crises using financial variables reflecting investors¿ expectations & banking distress, which are highly sensitive to changes in the economic environment. The authors use a dynamic factor model that switches between two regimes -- representing periods of relative calmness & periods prone to currency crises -- to construct leading indicators of country risk & currency crises. The method is applied to evaluate the model¿s in-sample & out-of-sample performance in anticipating currency crises in the last two decades in Thailand, Indonesia, & Korea. The model successfully produces early signals of these crises, particularly the most severe one, which occurred in 1997. Illus.
Download or read book Early Warning Systems for Currency Crises in Emerging Markets written by Stefan Jansen and published by . This book was released on 2013 with total page 95 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper aims at identifying key empirical regularities characterizing the onset of a currency crisis that might be suitable for early warning purposes and proceeds by providing analysis and empirical tests of economic and financial variables both in-sample and out-of-sample in order to assess their performance as leading indicators of a speculative attack. Two distinct methodologies are compared and implications for the theory of currency crises and economic policies to their prevention will be investigated in the process.
Download or read book Empirical Indicators of Currency Crises in East Asia written by Tony S. Wirjanto and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper is concerned with identifying useful indicators of the probability of currency crises in Indonesia, Malaysia, the Philippines, South Korea and Thailand over a period of 22 years, where a currency crisis is defined as a large and infrequent devaluation of a local currency. The leading crisis indicators include international and domestic factors; but they are dominated by the leading indicators from the financial sector, such as the ratio of short-term debt to foreign reserves, the ratio of M2 to foreign reserves, and the indicator representing a regional contagion effect. This result is interpreted as pointing to external illiquidity together with adverse shifts in the market sentiment as the likely catalyst for the 1997-98 East Asia crisis.
Download or read book Banking Debt and Currency Crises written by and published by . This book was released on 2012 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The authors construct and explore a new quarterly dataset covering crisis episodes in 40 developed countries over 1970-2010. First, we examine stylized facts of banking, debt, and currency crises. Banking turmoil was most frequent in developed economies. Using panel vector autoregression, we confirm that currency and debt crises are typically preceded by banking crises, but not vice versa. Banking crises are also the most costly in terms of the overall output loss, and output takes about six years to recover. Second, we try to identify early warning indicators of crises specific to developed economies, accounting for model uncertainty by means of Bayesian model averaging. Our results suggest that onsets of banking and currency crises tend to be preceded by booms in economic activity. In particular, we find that growth of domestic private credit, increasing FDI inflows, risingmoney market rates as well as increasing world GDP and inflation were common leading indicators of banking crises. Currency crisis onsets were typically preceded by rising money market rates, but also by worsening government balances and falling central bank reserves. Early warning indicators of debt crisis are difficult to uncover due to the low occurrence of such episodes in our dataset. Finally, employing a signaling approach we show that using a composite early warning index increases the usefulness of the model when compared to using the best single indicator (domestic private credit)."--Abstract.
Download or read book Mis Leading Indicators written by Friedrich Breyer and published by . This book was released on 2003 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
