Currency Crises, Exchange Rate Regimes and Capital Account Liberalization: A Duration Analysis Approach

Karimi, Mohammad Reza; Voia, Marcel-Cristian

doi:10.1007/978-3-642-42039-9_7

Cited by 6 publications

(3 citation statements)

References 37 publications

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“…On the one hand, excessive money supply leads to currency crisis. On the other hand, less money supply leads to liquidity crunch in the onset of a crisis (Karimi & Voia, 2014). 7.…”

Section: Explanatory Variablesmentioning

confidence: 99%

Common Determinants of the Likelihood of Currency Crises in BRICS

Rao

Padhi

2018

Global Business Review

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We consider a panel of quarterly data for five BRICS countries for the period 1996: Q1 through 2015: Q4 to examine the currency crises. In this article, we construct an exchange market pressure index using Kaminsky, Lizondo and Reinhart (KLR) methodology to identify the crisis periods. Upon identifying the crisis periods, we examine the common determinants of the currency crises in these five counties using a panel probit model with random effects. Among the 22 identified periods across five BRICS countries, Russia has seen a currency stress quite often followed by Brazil, South Africa, China and India. Our main finding is that variables such as base money to broad money, broad money growth, current account balance, exports, imports, inflation, real interest rate and real effective exchange rate (REER) work as leading indicators of the crises and major contributing factors in a country’s vulnerability to crisis. We also find that the prediction of crises is robust at cut-off probability of 50 per cent.

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“…On the one hand, excessive money supply leads to currency crisis. On the other hand, less money supply leads to liquidity crunch in the onset of a crisis (Karimi & Voia, 2014). 7.…”

Section: Explanatory Variablesmentioning

confidence: 99%

Common Determinants of the Likelihood of Currency Crises in BRICS

Rao

Padhi

2018

Global Business Review

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“…Columns (5)-(8) in Table 4 show that seigniorage increases the odds of currency crises, confirming the fiscal theory of currency crises (Daniel 2001). In addition, capital account openness decreases the probability of currency crises (Column 8), as it offers more flexibility in the implementation of the monetary policy under fixed regimes (Esaka 2010a, 2010b, Karimi and Voia 2014. Finally, the fiscal balance (FB) does not matter in the prediction of currency crises: what matters is not whether governments generate fiscal deficits, but rather the way they finance them.…”

Section: Control Variablesmentioning

confidence: 97%

Crises and exchange rate regimes: time to break down the bipolar view?

2016

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Avertissement :Les commentaires et analyses développés n'engagent que leurs auteurs qui restent seuls responsables des erreurs et insuffisances. AbstractWe revisit the link between crises and exchange rate regimes (ERR). Using a panel of 90 developed and developing countries over the period 1980-2009, we find that corner ERR are not more prone to crises compared to intermediate ERR. This finding holds for different types of crises (banking, currency and debt), and is robust to a wide set of alternative specifications. Consequently, we clearly break down the traditional bipolar view: countries that aim at preventing crisis episodes should focus less on the choice of the ERR, and instead implement sound structural macroeconomic policies.

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“…The major questions are how and when to liberalise, process of liberalisation and the pace of liberalisation the nations should follow. The major concerns for the economies till date are the negative impacts of openness of the economies, exposure of capital and money markets to the international markets and resulting in crises thereof (Karimi & Voia, 2011; Stiglitz, 2003). Emerging economies should restrict capital flows under weak market situation (Eichengreen et al, 1995) and implementation of Tobin tax is suggested on short-term to medium-term capital flows.…”

Section: Introductionmentioning

confidence: 99%

Capital Account Liberalisation and Crises: A Meta-Analysis

Kalsie

Kalra

2022

The Indian Economic Journal

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The present study is a critical survey of the literature on the impact of capital account liberalisation on both banking and currency crises. The objective of the study is to identify the publication bias and explore heterogeneity in the extant studies. For measuring the effect size of capital account liberalisation on banking and currency crises, an identification of relevant studies is done. Partial correlation coefficient is used for measuring standardised effect size. Funnel asymmetry test (FAT) and precision effect test (PET–PEE) are used for identifying publication selection bias. Meta-regression analysis (MRA) is done for exploring the heterogeneity in literature. I did meta-analysis on 121 t stats reported in 14 empirical papers. The results of the FAT–PET–PEE test indicate that publication bias does not exist in the literature. The study explains the heterogeneity of results reported in earlier studies. De facto measure, size of economy, inflation, real interest rate differential, real effective exchange rate overvaluation, current account balance to GDP and reserve money to GDP are the major impacting variables of both banking and currency crises. The probit approach is seen to be more appropriate in capturing the above relationship. JEL Codes: C1, F6, G01

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Currency Crises, Exchange Rate Regimes and Capital Account Liberalization: A Duration Analysis Approach

Cited by 6 publications

References 37 publications

Common Determinants of the Likelihood of Currency Crises in BRICS

Common Determinants of the Likelihood of Currency Crises in BRICS

Crises and exchange rate regimes: time to break down the bipolar view?

Capital Account Liberalisation and Crises: A Meta-Analysis

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