Are Currency Crises Predictable? a Test
- 1 January 1998
- journal article
- Published by International Monetary Fund (IMF) in IMF Working Papers
- Vol. 98 (154)
- https://doi.org/10.5089/9781451857207.001
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
All Related Versions
This publication has 10 references indexed in Scilit:
- Predicting U.S. Recessions: Financial Variables as Leading IndicatorsThe Review of Economics and Statistics, 1998
- Current Account Reversals and Currency Crisis: Empirical RegularitiesIMF Working Papers, 1998
- Perspectives on the Recent Currency Crisis LiteraturePublished by National Bureau of Economic Research ,1998
- Mexico's balance-of-payments crisis: a chronicle of a death foretoldJournal of International Economics, 1996
- Currency crashes in emerging markets: An empirical treatmentJournal of International Economics, 1996
- Forecast Evaluation and CombinationPublished by National Bureau of Economic Research ,1996
- Financial Crises in Emerging Markets: The Lessons from 1995Brookings Papers on Economic Activity, 1996
- Exchange Market Mayhem: The Antecedents and Aftermath of Speculative AttacksEconomic Policy, 1995
- Recurrent Devaluation and Speculative Attacks on the Mexican PesoJournal of Political Economy, 1986
- A Model of Balance-of-Payments CrisesJournal of Money, Credit and Banking, 1979