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Money and credit, competitiveness, and currency crises in Asia and Latin America

Reuven Glick and Ramon Moreno

No 99-01, Pacific Basin Working Paper Series from Federal Reserve Bank of San Francisco

Abstract: This paper analyzes the role of money, credit, trade and competitiveness variables in signaling currency crises in a sample of East Asian and Latin American countries over the period 1972:01 - 1997:10. Bivariate tests suggest that money and credit, as well as trade and competitiveness variables, appear to behave differently around crisis episodes than they do during periods of tranquility, suggesting that they may help signal currency crises. In multivariate probit regressions, which allow for the identification of marginal contributions of individual variables, reductions in real domestic credit and in foreign reserves as well as appreciation in the real exchange rate imply increases in the probability of a crisis. Real exchange rate appreciation appears to play a greater role in predicting currency crises in East Asia, while foreign reserve losses play a greater role in Latin America.

Keywords: Money; Competition (search for similar items in EconPapers)
Date: 1999
New Economics Papers: this item is included in nep-ifn and nep-mon
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Citations: View citations in EconPapers (27)

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Related works:
Working Paper: Money and Credit, Competitiveness, and Currency Crises in Asia and Latin America (1999)
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