Are Currency Crises Predictable? A Test

61 Pages Posted: 15 Feb 2006

See all articles by Andrew Berg

Andrew Berg

International Monetary Fund (IMF) - Developing Country Studies Division

Catherine A. Pattillo

International Monetary Fund (IMF) - Research Division

Date Written: November 1998

Abstract

This paper evaluates three models for predicting currency crises that were proposed before 1997. The idea is to answer the question: if we had been using these models in late 1996, how well armed would we have been to predict the Asian crisis? The results are mixed but somewhat encouraging. One model, and our modifications to it, provide useful forecasts, at least compared with a naive benchmark. The head-to-head comparison also sheds light on the economics of currency crises, the nature of the Asian crisis, and issues in the empirical modeling of currency crises.

Keywords: Currency crises, vulnerability indicators, Asian crisis, balance of payments crises, crisis prediction

JEL Classification: F31, F47

Suggested Citation

Berg, Andrew and Pattillo, Catherine, Are Currency Crises Predictable? A Test (November 1998). IMF Working Paper No. 98/154, Available at SSRN: https://ssrn.com/abstract=882733

Andrew Berg (Contact Author)

International Monetary Fund (IMF) - Developing Country Studies Division ( email )

700 19th Street NW
Washington, DC 20431
United States
202-623-8843 (Phone)
202-589-8843 (Fax)

Catherine Pattillo

International Monetary Fund (IMF) - Research Division ( email )

700 19th Street NW
Washington, DC 20431
United States

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