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An Anatomy of Currency Crises

Author

Listed:
  • Felmingham, Bruce

    (University of Tasmania)

  • Short, Lisa

    (University of Tasmania)

Abstract

We investigate the hypothesis that currency crises are linked to a breakdown in a set of macroeconomic fundamentals, which sparks a speculative attack. A conditional logit model is estimated for 2 7 countries experiencing crises over the period 1980 to 1997. This sample includes countries from the Latin American, European and Asian Pacific regions. The results support the fundamentals hypothesis with characteristics such as domestic credit, international reserves, the real exchange rate, foreign currency ratings and the choice of the exchange rate regime impacting on the crisis probability. The differing impacts of particular characteristics through time and across regions are emphasised.

Suggested Citation

  • Felmingham, Bruce & Short, Lisa, 2003. "An Anatomy of Currency Crises," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 18, pages 587-606.
    • Handle: RePEc:ris:integr:0250
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    Cited by:

    1. Licchetta, Mirko, 2009. "Common determinants of currency crises: role of external balance sheet variables," Bank of England working papers 366, Bank of England.

    More about this item

    Keywords

    Crises; Fundamentals; Logit; Credit; Deficit; International financial markets;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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