Leading Indicators of Currency Crises

43 Pages Posted: 15 Feb 2006

See all articles by Graciela Kaminsky

Graciela Kaminsky

George Washington University - Department of Economics; National Bureau of Economic Research (NBER)

Saul Lizondo

Independent

Carmen Reinhart

Harvard University - Center for Business and Government; Centre for Economic Policy Research (CEPR); World Bank; University of Maryland - School of Public Affairs; National Bureau of Economic Research (NBER); International Monetary Fund (IMF); Peterson Institute for International Economics; Harvard University, Harvard Kennedy School (HKS), Belfer Center for Science and International Affairs (BCSIA) ; Harvard University - Harvard Kennedy School (HKS)

Multiple version iconThere are 2 versions of this paper

Date Written: July 1997

Abstract

This paper examines the empirical evidence on currency crises and proposes a specific early warning system. This system involves monitoring the evolution of several indicators that tend to exhibit an unusual behavior in the periods preceding a crisis. When an indicator exceeds a certain threshold value, this is interpreted as a warning "signal" that a currency crisis may take place within the following 24 months. The variables that have the best track record within this approach include exports, deviations of the real exchange rate from trend, the ratio of broad money to gross international reserves, output, and equity prices.

Keywords: Currency Crises, Leading Indicators, Survey

JEL Classification: F31, F47

Suggested Citation

Kaminsky, Graciela and Lizondo, Saul and Reinhart, Carmen and Reinhart, Carmen and Reinhart, Carmen and Reinhart, Carmen and Reinhart, Carmen and Reinhart, Carmen and Reinhart, Carmen and Reinhart, Carmen, Leading Indicators of Currency Crises (July 1997). IMF Working Paper No. 97/79, Available at SSRN: https://ssrn.com/abstract=882365

Graciela Kaminsky (Contact Author)

George Washington University - Department of Economics ( email )

Monroe Hall
2115 G Street, NW
Washington, DC 20052
United States
202-994-6686 (Phone)
202-994-6147 (Fax)

HOME PAGE: http://www.gracielakaminsky.com/

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Saul Lizondo

Independent

Carmen Reinhart

Centre for Economic Policy Research (CEPR)

London
United Kingdom

Harvard University - Center for Business and Government ( email )

John F. Kennedy School of Government
79 JFK Street
Cambridge, MA 02138
United States

World Bank ( email )

1818 H Street NW
Washington, DC 20433
United States

University of Maryland - School of Public Affairs ( email )

College Park, MD 20742-1815
United States
301-405-7006 (Phone)
301-403-8107 (Fax)

HOME PAGE: www.wam.umd.edu/~creinhar

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

International Monetary Fund (IMF) ( email )

700 19th Street NW
Washington, DC 20431
United States
202-623-4793 (Phone)
202-623-7271 (Fax)

Peterson Institute for International Economics ( email )

1750 Massachusetts Avenue NW
Washington, DC 20036
United States

Harvard University, Harvard Kennedy School (HKS), Belfer Center for Science and International Affairs (BCSIA) ( email )

79 JFK Street
Cambridge, MA 02138
United States
617-496-8643 (Phone)

Harvard University - Harvard Kennedy School (HKS) ( email )

79 John F. Kennedy Street
Cambridge, MA 02138
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
1,061
Abstract Views
12,865
Rank
29,415
PlumX Metrics