NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Currency Crashes in Emerging Markets: Empirical Indicators

Jeffrey A. Frankel, Andrew K. Rose

NBER Working Paper No. 5437
Issued in January 1996

We use a panel of annual data for over one hundred 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 is high. A low ratio of FDI to debt is consistently associated with a high likelihood of a crash.

download in pdf format
   (353 K)

email paper

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w5437

Published: Journal of International Economics, 1996

Users who downloaded this paper also downloaded* these:
Sachs, Tornell, and Velasco w5576 Financial Crises in Emerging Markets: The Lessons from 1995
Eichengreen, Rose, and Wyplosz w5681 Contagious Currency Crises
Frankel and Saravelos w16047 Are Leading Indicators of Financial Crises Useful for Assessing Country Vulnerability? Evidence from the 2008-09 Global Crisis
Frankel w11508 Contractionary Currency Crashes in Developing Countries
Maria Milesi-Ferrett and Razin w6620 Current Account Reversals and Currency Crises: Empirical Regularities
 
Publications
Activities
Meetings
NBER Videos
Themes
Data
People
About

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us