Currency Crashes in Emerging Markets: Empirical Indicators / Jeffrey A. Frankel, Andrew K. Rose.

Format:

Book

Author/Creator:

Frankel, Jeffrey A.

Contributor:

National Bureau of Economic Research.

Rose, Andrew K.

Series:

Working Paper Series (National Bureau of Economic Research) no. w5437.

NBER working paper series no. w5437

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

Currency Crashes in Emerging Markets

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1996.

Summary:

We use a panel of annual data for over one hundred developing countries from 1971 through 1992 to characterize currency crashes. We define a currency crash as a large change of the nominal exchange rate that is also a substantial increase in the rate of change of nominal depreciation. We examine the composition of the debt as well as its level, and a variety of other macroeconomic factors, external and foreign. Crashes tend to occur when: output growth is low; the growth of domestic credit is high; and the level of foreign interest rates is high. A low ratio of FDI to debt is consistently associated with a high likelihood of a crash.

Notes:

Print version record

January 1996.