Are Currency Crises Predictable?

19 Pages Posted: 15 Feb 2006

See all articles by Ilan Goldfajn

Ilan Goldfajn

Gávea Investimentos; Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics; Central Bank of Brazil

Rodrigo Valdés

Central Bank of Chile; Ministry of Finance, Chile

Multiple version iconThere are 3 versions of this paper

Date Written: December 1997

Abstract

This paper studies whether exchange rate expectations and overvaluations are predictors of currency crises. The results suggest that overvaluation has predictive power in explaining crises. However, although expected depreciation obtained from survey data partially takes different measures of exchange rate misalignment into consideration, expectations fail to anticipate currency crises.

JEL Classification: F31, F33

Suggested Citation

Goldfajn, Ilan and Valdés, Rodrigo O., Are Currency Crises Predictable? (December 1997). IMF Working Paper, Vol. , pp. 1-19, 1997. Available at SSRN: https://ssrn.com/abstract=882742

Ilan Goldfajn (Contact Author)

Gávea Investimentos ( email )

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Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics ( email )

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Brazil

Central Bank of Brazil ( email )

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Rodrigo O. Valdés

Central Bank of Chile ( email )

Agustinas 1180
Research Department
Santiago
Chile
+56 2 670 2000 (Phone)
+56 2 670 2231 (Fax)

Ministry of Finance, Chile

Teatinos 120
Santiago, 8340487
Chile

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