TY  - JOUR
AU  - Frankel,Jeffrey A.
AU  - Rose,Andrew K.
TI  - Currency Crashes in Emerging Markets: Empirical Indicators
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 5437
PY  - 1996
Y2  - January 1996
UR  - http://www.nber.org/papers/w5437
L1  - http://www.nber.org/papers/w5437.pdf
N1  - Author contact info:
Jeffrey A. Frankel
Kennedy School of Government
Harvard University
79 JFK Street
Cambridge, MA 02138
Tel: 617/496-3834
Fax: 617/496-5747
E-Mail: jeffrey_frankel@harvard.edu

Andrew K. Rose
Haas School of Business Administration
University of California, Berkeley
Berkeley, CA 94720-1900
Tel: 510/642-6609
Fax: 510/642-4700
E-Mail: arose@haas.berkeley.edu
AB  - 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.
ER  -