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Currency Crises: In Search of Common Elements
Author:
Mr. Ranil M Salgado
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,
Mr. Jahangir Aziz
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Mr. Francesco Caramazza
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Series:
IMF Working Papers
Volume/Issue:
Volume 2000: Issue 067
Language:
English
Publication Date:
01 Mar 2000
DOI:
https://doi.org/10.5089/9781451848892.001
ISBN:
9781451848892
ISSN:
1018-5941
Pages:
55
Keywords:
WP; currency crisis; crisis window; real interest rate; standard error; banking crisis; Currency Crises; Financial Crisis; crisis date; crisis sample; equity price; crisis grouping; reserves crisis; inflation rate; tranquil period; period observation; sample of crisis; Emerging and frontier financial markets; Banking crises; Inflation; East Asia
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IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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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.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund