The Duration of Capital Account Crises - An Empirical Analysis

44 Pages Posted: 25 Jan 2008

See all articles by Mauro Mecagni

Mauro Mecagni

International Monetary Fund (IMF)

Ruben Atoyan

International Monetary Fund (IMF)

David Hofman

International Monetary Fund (IMF)

Dimitri Tzanninis

International Monetary Fund (IMF)

Date Written: November 2007

Abstract

This paper examines the duration of capital account crises. We develop a new index to identify both the start and the end of these crises. Applying the index to a sample of 18 crisis episodes, we derive stylized facts on crisis duration and review the economic and financial circumstances that prevailed at the dusk of crises, a relatively unexplored area. We use the econometric technique of duration analysis to gauge the relative importance of various factors affecting the probability of exiting a crisis. We find that initial and external conditions are key determinants. But fiscal and monetary policies can also help shorten crisis duration.

Keywords: Financial crisis, Capital account

Suggested Citation

Mecagni, Mauro and Atoyan, Ruben and Hofman, David and Tzanninis, Dimitri, The Duration of Capital Account Crises - An Empirical Analysis (November 2007). IMF Working Paper No. 07/258, Available at SSRN: https://ssrn.com/abstract=1087172

Mauro Mecagni (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street NW
Washington, DC 20431
United States

Ruben Atoyan

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

David Hofman

International Monetary Fund (IMF) ( email )

700 19th Street NW
Washington, DC 20431
United States

Dimitri Tzanninis

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

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