Leading Indicators of Currency Crises

43 Pages Posted: 15 Feb 2006

See all articles by Graciela Kaminsky

Graciela Kaminsky

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

Saul Lizondo

Independent

Carmen M. Reinhart

Peter G. Peterson Institute for International Economics; National Bureau of Economic Research (NBER)

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 M., Leading Indicators of Currency Crises (July 1997). IMF Working Paper, Vol. , pp. 1-43, 1997. Available at SSRN: https://ssrn.com/abstract=882365

Graciela Kaminsky (Contact Author)

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George Washington University - Department of Economics ( email )

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

Saul Lizondo

Independent

No Address Available

Carmen M. Reinhart

Peter G. Peterson Institute for International Economics ( email )

1750 Massachusetts Avenue, NW
Washington, DC 20036
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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