Currency crashes in emerging markets: An empirical treatment

• 成果类型: Article; Proceedings Paper
• 署名作者: Frankel, JA; Rose, AK
• 署名单位: University of California System; University of California Berkeley
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(96)01441-9
• 发表日期: 1996
• 页码: 351-366
• 关键词: Exchange rate; developing; panel; data; debt; Composition; macroeconomic

摘要

We use a panel of annual data for over 100 developing countries from 1971 through 1992 to characterize currency crashes. We define a currency crash as a large change of the nominal exchange rate that is also a substantial increase in the rate of change of nominal depreciation. We examine the composition of the debt as well as its level, and a variety of other macroeconomic factors, external and foreign. Crashes tend to occur when: output growth is low; the growth of domestic credit is high; and the level of foreign interest rates are high. A low ratio of FDI to debt is consistently associated with a high likelihood of a crash.