Currency crashes in emerging markets: An empirical treatment

被引：628

作者：

Frankel, JA ^{[1
]}

Rose, AK ^{[1
]}

机构：

[1] UNIV CALIF BERKELEY,HAAS SCH BUSINESS,BERKELEY,CA 94720

来源：

JOURNAL OF INTERNATIONAL ECONOMICS | 1996年 / 41卷 / 3-4期

关键词：

exchange rate; developing; panel; data; debt; composition; macroeconomic;

D O I：

10.1016/S0022-1996(96)01441-9

中图分类号：

F [经济];

学科分类号：

02 ;

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.

引用

页码：351 / 366

页数：16