[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/a/eee/ecofin/v49y2019icp273-286.html
   My bibliography  Save this article

Dating currency crises in emerging market economies

Author

Listed:
  • Boonman, Tjeerd Menno
Abstract
The first crucial step in studying currency crises empirically is to identify these crises and to date them as precisely as possible. We construct a database of currency crisis dates for 35 emerging economies for the period 1990–2016, using data at a monthly frequency to improve accuracy. We use multiple quantitative definitions, past studies, narrative and expert opinions to date the crises. We then compare the performance of individual crisis definitions versus combinations of definitions and find that the latter perform better. Lastly, we find that several definitions perform worse in floating and free falling exchange rate regimes than in fixed and intermediate regimes.

Suggested Citation

  • Boonman, Tjeerd Menno, 2019. "Dating currency crises in emerging market economies," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 273-286.
    • Handle: RePEc:eee:ecofin:v:49:y:2019:i:c:p:273-286
    DOI: 10.1016/j.najef.2019.04.006
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1062940818304510
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.najef.2019.04.006?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Ethan Ilzetzki & Carmen M Reinhart & Kenneth S Rogoff, 2019. "Exchange Arrangements Entering the Twenty-First Century: Which Anchor will Hold?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 134(2), pages 599-646.
    2. Graciela Kaminsky & Saul Lizondo & Carmen M. Reinhart, 1998. "Leading Indicators of Currency Crises," IMF Staff Papers, Palgrave Macmillan, vol. 45(1), pages 1-48, March.
    3. Frankel, Jeffrey A. & Rose, Andrew K., 1996. "Currency Crashes in Emerging Markets: Empirical Indicators," Center for International and Development Economics Research (CIDER) Working Papers 233424, University of California-Berkeley, Department of Economics.
    4. Guillermo A. Calvo & Carmen M. Reinhart, 2002. "Fear of Floating," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 117(2), pages 379-408.
    5. Frankel, Jeffrey A. & Rose, Andrew K., 1996. "Currency crashes in emerging markets: An empirical treatment," Journal of International Economics, Elsevier, vol. 41(3-4), pages 351-366, November.
    6. Ramon Moreno, 1995. "Macroeconomic behavior during periods of speculative pressure or realignment: evidence from Pacific Basin economies," Economic Review, Federal Reserve Bank of San Francisco, pages 3-16.
    7. Pontines, Victor & Siregar, Reza, 2008. "Fundamental pitfalls of exchange market pressure-based approaches to identification of currency crises," International Review of Economics & Finance, Elsevier, vol. 17(3), pages 345-365.
    8. Bussiere, Matthieu & Fratzscher, Marcel, 2006. "Towards a new early warning system of financial crises," Journal of International Money and Finance, Elsevier, vol. 25(6), pages 953-973, October.
    9. Frankel, Jeffrey & Saravelos, George, 2012. "Can leading indicators assess country vulnerability? Evidence from the 2008–09 global financial crisis," Journal of International Economics, Elsevier, vol. 87(2), pages 216-231.
    10. Oliver D. Babson & Steven B. Kamin, 1999. "The contributions of domestic and external factors to Latin American devaluation crises: an early warning systems approach," International Finance Discussion Papers 645, Board of Governors of the Federal Reserve System (U.S.).
    11. Babecký, Jan & Havránek, Tomáš & Matějů, Jakub & Rusnák, Marek & Šmídková, Kateřina & Vašíček, Bořek, 2014. "Banking, debt, and currency crises in developed countries: Stylized facts and early warning indicators," Journal of Financial Stability, Elsevier, vol. 15(C), pages 1-17.
    12. Ali Ari & Raif Cergibozan, 2016. "A Comparison of Currency Crisis Dating Methods: Turkey 1990-2014," Montenegrin Journal of Economics, Economic Laboratory for Transition Research (ELIT), vol. 12(3), pages 19-37.
    13. Mr. Zhiwei Zhang, 2001. "Speculative Attacks in the Asian Crisis," IMF Working Papers 2001/189, International Monetary Fund.
    14. Girton, Lance & Roper, Don, 1977. "A Monetary Model of Exchange Market Pressure Applied to the Postwar Canadian Experience," American Economic Review, American Economic Association, vol. 67(4), pages 537-548, September.
    15. Atish R. Ghosh & Anne-Marie Gulde & Holger C. Wolf, 2003. "Exchange Rate Regimes: Choices and Consequences," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262072408, April.
    16. Charles Engel & Kristin Forbes & Jeffrey Frankel, 2012. "Global Financial Crisis," NBER Books, National Bureau of Economic Research, Inc, number enge11-2.
    17. Carmen M. Reinhart & Kenneth S. Rogoff, 2011. "From Financial Crash to Debt Crisis," American Economic Review, American Economic Association, vol. 101(5), pages 1676-1706, August.
    18. Esaka, Taro, 2010. "Exchange rate regimes, capital controls, and currency crises: Does the bipolar view hold?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(1), pages 91-108, February.
    19. Jan P. A. M. Lestano, 2007. "Dating currency crises with ad hoc and extreme value-based thresholds: East Asia 1970-2002 [Dating currency crises]," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(4), pages 371-388.
    20. Kaminsky, Graciela L., 2006. "Currency crises: Are they all the same?," Journal of International Money and Finance, Elsevier, vol. 25(3), pages 503-527, April.
    21. Mr. Fabian Valencia & Mr. Luc Laeven, 2012. "Systemic Banking Crises Database: An Update," IMF Working Papers 2012/163, International Monetary Fund.
    22. Kato, Isamu & Uctum, Merih, 2008. "Choice of exchange rate regime and currency zones," International Review of Economics & Finance, Elsevier, vol. 17(3), pages 436-456.
    23. Ethan Ilzetzki & Carmen M Reinhart & Kenneth S Rogoff, 2019. "Exchange Arrangements Entering the Twenty-First Century: Which Anchor will Hold?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 134(2), pages 599-646.
    24. Apoteker, Thierry & Barthelemy, Sylvain, 2005. "Predicting financial crises in emerging markets using a composite non-parametric model," Emerging Markets Review, Elsevier, vol. 6(4), pages 363-375, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Manmohan Agarwal & T. R. Vandana, 2022. "Exchange rate crises in Latin America, East Asia and Russia," Brazilian Journal of Political Economy, Center of Political Economy, vol. 42(2), pages 263-282.
    2. Tjeerd M. Boonman & Jan P. A. M. Jacobs & Gerard H. Kuper & Alberto Romero, 2019. "Early Warning Systems for Currency Crises with Real-Time Data," Open Economies Review, Springer, vol. 30(4), pages 813-835, September.
    3. Nihat Tak & Adem Gök, 2022. "Dating currency crises and designing early warning systems: Meta‐possibilistic fuzzy index functions," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3773-3790, July.
    4. Marthinsen, John E. & Gordon, Steven R., 2022. "Hyperinflation, Optimal Currency Scopes, and a Cryptocurrency Alternative to Dollarization," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 161-173.
    5. Tjeerd M. Boonman & Andrea E. Sanchez Urbina, 2020. "Extreme Bounds Analysis in Early Warning Systems for Currency Crises," Open Economies Review, Springer, vol. 31(2), pages 431-470, April.
    6. Adem Gök & Nihat Tak, 2023. "Dating Currency Crisis and Assessing the Determinants Based on Meta Fuzzy Index Functions," Computational Economics, Springer;Society for Computational Economics, vol. 61(3), pages 1225-1250, March.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Eichler, Stefan & Roevekamp, Ingmar, 2018. "A market-based measure for currency risk in managed exchange rate regimes," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 57(C), pages 141-159.
    2. Rövekamp, Ingmar & Eichler, Stefan, 2016. "A market-based indicator of currency risk: Evidence from American Depositary Receipts," VfS Annual Conference 2016 (Augsburg): Demographic Change 145791, Verein für Socialpolitik / German Economic Association.
    3. Babecký, Jan & Havránek, Tomáš & Matějů, Jakub & Rusnák, Marek & Šmídková, Kateřina & Vašíček, Bořek, 2014. "Banking, debt, and currency crises in developed countries: Stylized facts and early warning indicators," Journal of Financial Stability, Elsevier, vol. 15(C), pages 1-17.
    4. Bordo, M.D. & Meissner, C.M., 2016. "Fiscal and Financial Crises," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 355-412, Elsevier.
    5. Barthélémy, Sylvain & Binet, Marie-Estelle & Pentecôte, Jean-Sébastien, 2020. "Worldwide economic recoveries from financial crises through the decades," Journal of International Money and Finance, Elsevier, vol. 105(C).
    6. V. Coudert & J. Idier, 2016. "An Early Warning System for Macro-prudential Policy in France," Working papers 609, Banque de France.
    7. Eijffinger, Sylvester C.W. & Karataş, Bilge, 2020. "Together or apart? The relationship between currency and banking crises," Journal of Banking & Finance, Elsevier, vol. 119(C).
    8. Markus Behn & Carsten Detken & Tuomas Peltonen & Willem Schudel, 2017. "Predicting Vulnerabilities in the EU Banking Sector: The Role of Global and Domestic Factors," International Journal of Central Banking, International Journal of Central Banking, vol. 13(4), pages 147-189, December.
    9. Catão, Luis A.V. & Milesi-Ferretti, Gian Maria, 2014. "External liabilities and crises," Journal of International Economics, Elsevier, vol. 94(1), pages 18-32.
    10. Zhang, Xun & He, Zongyue & Zhu, Jiali & Li, Jing, 2018. "Quantity of finance and financial crisis: A non-monotonic investigation☆," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 129-139.
    11. Schudel, Willem, 2015. "Shifting horizons: assessing macro trends before, during, and following systemic banking crises," Working Paper Series 1766, European Central Bank.
    12. Yanping Zhao & Jakob Haan & Bert Scholtens & Haizhen Yang, 2014. "Leading Indicators of Currency Crises: Are They the Same in Different Exchange Rate Regimes?," Open Economies Review, Springer, vol. 25(5), pages 937-957, November.
    13. Mohammad Karimi & Marcel Voia, 2015. "Identifying extreme values of exchange market pressure," Empirical Economics, Springer, vol. 48(3), pages 1055-1078, May.
    14. Christofides, Charis & Eicher, Theo S. & Papageorgiou, Chris, 2016. "Did established Early Warning Signals predict the 2008 crises?," European Economic Review, Elsevier, vol. 81(C), pages 103-114.
    15. Nguyen, Thanh Cong & Castro, Vítor & Wood, Justine, 2022. "A new comprehensive database of financial crises: Identification, frequency, and duration," Economic Modelling, Elsevier, vol. 108(C).
    16. Lainà, Patrizio & Nyholm, Juho & Sarlin, Peter, 2015. "Leading indicators of systemic banking crises: Finland in a panel of EU countries," Review of Financial Economics, Elsevier, vol. 24(C), pages 18-35.
    17. Melecky,Martin & Podpiera,Anca Maria, 2015. "Placing Bank supervision in the Central Bank : implications for financial stability based on evidence from the global crisis," Policy Research Working Paper Series 7320, The World Bank.
    18. Detken, Carsten & Peltonen, Tuomas A. & Schudel, Willem & Behn, Markus, 2013. "Setting countercyclical capital buffers based on early warning models: would it work?," Working Paper Series 1604, European Central Bank.
    19. Alonso-Alvarez, Irma & Molina, Luis, 2023. "How to foresee crises? A new synthetic index of vulnerabilities for emerging economies," Economic Modelling, Elsevier, vol. 125(C).
    20. Patrizio Lainà & Juho Nyholm & Peter Sarlin, 2015. "Leading indicators of systemic banking crises: Finland in a panel of EU countries," Review of Financial Economics, John Wiley & Sons, vol. 24(1), pages 18-35, January.

    More about this item

    Keywords

    Currency crises; Emerging market economies; Exchange rate regimes;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • F31 - International Economics - - International Finance - - - Foreign Exchange

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecofin:v:49:y:2019:i:c:p:273-286. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620163 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.