Exchange Arrangements and Currency Crises: What´s the matter with the exchange rate classification?

Alexis CRUZ-RODRIGUEZ

Abstract


Abstract. The purpose of this paper is to empirically investigate whether certain exchange rate arrangements are more prone to currency crises using a probit model. We define a currency crisis as a period characterised by the presence of intense foreign exchange market pressure. The definition is based on a foreign exchange market pressure index (MPI). If the value of the MPI is above a certain threshold, we define that period as a crisis state; otherwise the period is defined as a tranquil state. The definition of currency crises used in this paper focuses on discrete events.

Keywords. Exchange rate regimes, currency crises, speculative attacks.

JEL. F10, F31, F32.


Keywords


Exchange rate regimes; Currency crises; Speculative attacks.

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References


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DOI: http://dx.doi.org/10.1453/jepe.v3i2.859

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