[PDF] Essays On Real Exchange Rates And Currency Crises eBook

Author : Mohammad Karimi Zarkani
Publisher :
Page : pages
File Size : 34,54 MB
Release : 2012
Category : Currency crises
ISBN :

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Currency crises have been a recurrent feature of the international economy from the invention of paper money. They are not confined to particular economies or specific region. They take place in developed, emerging, and developing countries and are spread all over the globe. Countries that experience currency crises face economic losses that can be huge and disruptive. However, the exacted toll is not only financial and economic, but also human, social, and political. It is clear that the currency crisis is a real threat to financial stability and economic prosperity. The main objective of this thesis is to analyze the determinants of currency crises for twenty OECD countries and South Africa from 1970 through 1998. It systematically examines the role of economic fundamentals and contagion in the origins of currency crises and empirically attempts to identify the channels through which the crises are being transmitted. It also examines the links between the incidence of currency crises and the choice of exchange rate regimes as well as the impact of capital market liberalization policies on the occurrence of currency crises. The first chapter identifies the episodes of currency crisis in our data set. Determining true crisis periods is a vital step in the empirical studies and has direct impact on the reliability of their estimations and the relevant policy implications. We define a period as a crisis episode when the Exchange Market Pressure (EMP) index, which consists of changes in exchange rates, reserves, and interest rates, exceeds a threshold. In order to minimize the concerns regarding the accuracy of identified crisis episodes, we apply extreme value theory, which is a more objective approach compared to other methods. In this chapter, we also select the reference country, which a country's currency pressure index should be built around, in a more systematic way rather than by arbitrary choice or descriptive reasoning. The second chapter studies the probability of a currency exiting a tranquil state into a crisis state. There is an extensive literature on currency crises that empirically evaluate the roots and causes of the crises. Despite the interesting results of the current empirical literature, only very few of them account for the influence of time on the probability of crises. We use duration models that rigorously incorporate the time factor into the likelihood functions and allow us to investigate how the amount of time that a currency has already spent in the tranquil state affects the stability of a currency. Our findings show that high values of volatility of unemployment rates, inflation rates, contagion factors (which mostly work through trade channels), unemployment rates, real effective exchange rate, trade openness, and size of economy increases the hazard of a crisis. We make use of several robustness checks, including running our models on two different crisis episodes sets that are identified based on monthly and quarterly type spells. The third chapter examines the links between the incidence of currency crises and the choice of exchange rate regimes as well as the impact of capital market liberalization policies on the occurrence of currency crises. As in our previous paper, duration analysis is our methodology to study the probability of a currency crisis occurrence under different exchange rate regimes and capital mobility policies. The third chapter finds that there is a significant link between the choice of exchange rate regime and the incidence of currency crises in our sample. Nevertheless, the results are sensitive to the choice of the de facto exchange rate system. Moreover, in our sample, capital control policies appear to be helpful in preventing low duration currency crises. The results are robust to a wide variety of sample and models checks.

Author : Robert P. Flood
Publisher : International Monetary Fund
Page : 76 pages
File Size : 33,73 MB
Release : 1998-09
Category : Business & Economics
ISBN :

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In the 1990s, currency crises in Europe, Mexico and Southeast Asia have drawn worldwide attention to speculative attacks on government-controlled exchange rates. To improve our understanding of these events, researchers have undertaken new theoretical and empirical work. In this paper, we provide some perspective on this work and relate it to earlier research in the area. Then we derive the optimal commitment to a fixed exchange rate and propose a common framework for analyzing currency crises that draws from both the early first-generation work and the more recent second-generation approach. The cross-generational framework stresses the important role of speculators and also recognizes that the government's commitment to a fixed exchange rate is constrained by other policy goals. In the final section we study the crisis prediction literature and find that some crises may be particularly difficult to predict using currently popular methods.

Author : William Allen
Publisher : Routledge
Page : 305 pages
File Size : 35,85 MB
Release : 2002-02-21
Category : Business & Economics
ISBN : 1134530145

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Maxwell Fry was known internationally for his research into international and domestic financial issues. This book constitutes a tribute to his pioneering work in so many areas, and draws together contributions from a range of academic and policy-making colleagues who were fortunate enough to experience the depth of knowledge and insights which Max

Author : Guillermo A. Calvo
Publisher : MIT Press
Page : 572 pages
File Size : 20,49 MB
Release : 2004
Category : Business & Economics
ISBN : 9780262532600

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Essays by leading economists and scholars reflecting on Mundell's broad influence on modern open-economy macroeconomics.

Author : Marek Dabrowski
Publisher : Springer Science & Business Media
Page : 328 pages
File Size : 10,3 MB
Release : 2003-03-31
Category : Business & Economics
ISBN : 9781402071508

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Dabrowski (Center for Social and Economic Research, Warsaw, Poland) presents eight comparative papers from a research project carried by his organization between October 1999 and September 2001. The papers examine theoretical models and causes of currency crises; discuss issues of crisis management and the contagion effect; and explore social and political consequences of currency crises. Also included are case studies of 1990s currency crises in Bulgaria, the Czech Republic, Russia, Ukraine, and Moldova. Annotation 2004 Book News, Inc., Portland, OR (booknews.com).

Author : Mr.Peter Isard
Publisher : International Monetary Fund
Page : 304 pages
File Size : 14,27 MB
Release : 2000-01-24
Category : Business & Economics
ISBN : 9781557758347

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This book contains the proceedings of a conference held in honor of Robert P. Flood Jr. Contributors to the conference were invited to address many of the topics that Robert Flood has explored including regime switching, speculative attacks, bubbles, stock market voloatility, macro models with nominal rigidities, dual exchange rates, target zones, and rules versus discretion in monetary policy. The results, contained in this volume, include five papers on topics in international finance.