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2 edition of Currency crises and uncertainty about fundamentals found in the catalog.

Currency crises and uncertainty about fundamentals

Alessandro Prati

Currency crises and uncertainty about fundamentals

by Alessandro Prati

  • 155 Want to read
  • 25 Currently reading

Published by Banca d"Italia in Roma .
Written in

    Subjects:
  • Financial crises -- Econometric models.,
  • Uncertainty -- Economic aspects -- Econometric models.

  • Edition Notes

    Statementby Alessandro Prati and Massimo Sbracia.
    SeriesTemi di discussione del Servizio Studi -- no. 446, Temi di discussione -- 446.
    ContributionsSbracia, M.
    The Physical Object
    Pagination54 p. :
    Number of Pages54
    ID Numbers
    Open LibraryOL22442676M

    It appears to be rare that banking and currency crises occur when economic fundamentals are sound. Despite the apparent inter-relationship between currency crises and bank- ing crises in recent episodes, the literatures on the two topics have for the most part developed separately. A currency crisis, also called a devaluation crisis, is normally considered as part of a financial crisis. Kaminsky et al. (), for instance, define currency crises as occurring when a weighted average of monthly percentage depreciations in the exchange rate and monthly percentage declines in exchange reserves exceeds its mean by more than three standard deviations.

    CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): Abstract. Currency crises are often followed by recessions. This is inconsistent with the predictions of second-generation currency crisis models. In these models, devaluations restore competitiveness and stimulate the economy. Recent work on third-generation cri-sis models remedies this inconsistency by introducing. The frequency of currency crises in the past decade has generated a lot of interest in the genesis and the spread of these crises. Numerous hypotheses have been advanced and debated in explaining the phenomena of currency crises in the s. This paper attempts to .

    A currency crisis is a situation in which serious doubt exists as to whether a country's central bank has sufficient foreign exchange reserves to maintain the country's fixed exchange crisis is often accompanied by a speculative attack in the foreign exchange market. A currency crisis results from chronic balance of payments deficits, and thus is also called a balance of payments crisis. Currency Crises with the Threat of an Interest Rate DefenceI Tijmen R. Daniels¨ a,c,, Henk Jagerb, Franc Klaassenb,d aDe Nederlandsche Bank N.V., Financial Stability Division, PO AB Amsterdam, The Netherlands bUniversiteit van Amsterdam, Faculty of Economics and Business, Roetersstr WB Amsterdam, The Netherlands cTechnische Universitat¨ Berlin, Institut fur Cited by: 7.


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Currency crises and uncertainty about fundamentals by Alessandro Prati Download PDF EPUB FB2

Currency crises and uncertainty about fundamentals (IMF working paper) [Alessandro Prati] on *FREE* shipping on qualifying : Alessandro Prati. predicts a role for uncertainty about fundamentals in currency crises (Sec-tion 2.) In this model, private information about fundamentals accounts for the presence of distinct individual forecasts,2 while public information accounts for economic risk and imprecise o¢cial information policies.

OurCited by: Downloadable. This paper studies how uncertainty about fundamentals contributed to currency crises from both a theoretical and an empirical perspective.

We find evidenceCbased on a monthly dataset of Consensus forecasts for six Asian countries in the period January May Cconfirming the theoretical predictions (from both unique- and multiple-equilibria models) that: (i) speculative.

This paper studies the role of uncertainty about fundamentals in currency crises from both a theoretical and an empirical perspective. uncertainty about fundamentals in currency crises, as they allow to consider the effect of changes in the precision of public or private information on the likelihood of a currency crisis.

role of uncertainty about fundamentals in currency crises and tests their empirical relevance using a novel approach based on the distribution of survey expectations. The cross-sectional dispersion of private-sector forecasts has been used in recent research on currency crises as a measure of uncertainty over expected fundamentals.

uncertainty about a fiscal deficit on the evolution of currency crises, and shows that a currency crisis of a fiscal origin can occur without any change in the fiscal stance of the government, only through expectations of a fiscal expansion. In order to explore the effects of fiscal uncertainty on the evolution of currency crises, this Author: Inci Gumus.

Recent theoretical contributions to the currency crisis literature have turned the spotlight on the role of uncertainty during crises, showing that the same fundamentals may or may not lead to a speculative attack depending on the precision of information about them.

The matter is Cited by: This paper studies empirically the role of uncertainty in currency crises. Uncertainty, which is measured using the dispersion of survey forecasts of key macroeconomic variables, is found to have a non-monotonic effect on exchange rate pressures: it heightens speculative pressures when expected fundamentals are good and eases them when they are bad.

This prediction is consistent with a broad class of currency crisis theories Cited by: This paper studies empirically how uncertainty affects speculation in the foreign exchange markets.

We use the dispersion of survey forecasts of key macroeconomic variables to measure uncertainty about fundamentals. We find that uncertainty has a non-monotone effect on exchange rate pressures: namely, uncertainty heightens speculative pressures when expected fundamentals are good and.

MAJOR FINANCIAL CRISIS FROM GREAT DEPRESSION TO GREAT RECESSION • This paper is dedicated to the doyens of Indian Banking, Dr. mham, Dr. ajan, Dr. Bimal Jalan, Dr. and Dr. Duvvuri Subbarao. These great men handled the macroeconomic policies of the Nation as Governors of the Reserve Bank of India with.

This paper studies empirically the role of uncertainty in currency crises. Uncertainty, which is measured using the dispersion of survey forecasts of key macroeconomic variables, is found to have a non-monotonic effect on exchange rate pressures: it heightens speculative pressures when expected fundamentals are good and eases them when they are bad.

Currency Crises in Developed and Emerging Market Economies: deterioration in economic fundamentals and the pursuit of lax monetary policy can contribute to currency crises. The experiences of several emerging market economies suggests that the uncertainty, capital flight continued. Capital flight, coupled with currency depreciation.

Fiscal Uncertainty and Currency Crises Inci Gumus Sabanci University Octo Abstract Fiscal de–cits have been put forward as the main factor in the occurrence of cur-rency crises by the –rst-generation currency crisis models. In these models, –nancing ongoing or future de–cits by seigniorage revenues or by reducing the real.

Leading Indicators Signals from some variables of Currency Crises are better than others in predicting a currencycisis The variables with the best track record include exports, Graciela Kaminsky Saul Lizondo output, equity prices, Carmenl Lizo M.

n bar deviations of the real Carmen M. Reinhart exchange rate from trend, and the ratio of broad money. bulent episodes. On the one hand, we have models of currency crisis based on fundamentals weakness [Krugman ()], self-fulfilling expectations [Obst-feld ()] and strategic uncertainty [Morris and Shin () and Guimaraes and Morris ()].

On the other hand, we have models of contagion based on. This paper studies empirically the role of uncertainty in currency crises. Uncertainty, which is measured using the dispersion of survey forecasts of key macroeconomic variables, is found to have a non-monotonic effect on exchange rate pressures: it heightens speculative pressures when expected fundamentals are good and eases them when they are.

This paper studies empirically the role of uncertainty in currency crises. Uncertainty, which is measured using the dispersion of survey forecasts of key macroeconomic variables, is found to have a non-monotonic effect on exchange rate pressures: it heightens speculative pressures when expected fundamentals are good and eases them when they are Author: Alessandro Prati and Massimo Sbracia.

Recently, following the pioneering work of Morris and Shin (), a growing body of literature on currency crisis explores the distinctive roles of noisy public and private information, and reveals some of the subtleties in the interaction between uncertainty concerning the fundamentals and uncertainty over the actions of other shift in the informative signals or underlying Author: Chih-huan Chen, Ching-chong Lai, Ching-chong Lai.

In context of contagious currency the crises, Masson (a, b) explained the distinction between joint exchange market crises as a consequence of a common macroeconomics shock to fundamentals spillovers of one country’s crisis on other countries,and fundamentals triggering crises in those countries too.

Chang & Velasco ().Model 3: Currency crisis early warning system. For this, see Reading B1. Can currency crises be predicted?--asked some IMF economists (Kaminsky, Lizondo and Reinhart).

They posed this question slightly before the Asian crisis erupted in The following is the summary of their arguments. Definition of a currency crisis.Financial Crises: Explanations, Types, and Implications Prepared by Stijn Claessens and M.

Ayhan Kose1 January financial crises—currency crises, sudden stops, debt crises, and banking crises—and fundamentals would suggest and exhibit patterns different than predictions of standard.