An early warning system for currency crises in emerging countries
In this study we develop an early warning system (EWS) to forecast currency crises in emerging countries in Asia and Latin America, using logit regression on monthly data from 1992 to 2011. We found that macroeconomic and institutional variables are valuable indicators for forecasting crises. Our re...
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| Định dạng: | Journal Article |
| Ngôn ngữ: | English |
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MDPI
2022
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| Truy cập trực tuyến: | https://digital.lib.ueh.edu.vn/handle/UEH/65251 https://doi.org/10.3390/jrfm15040167 |
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oai:localhost:UEH-652512022-10-27T02:33:54Z An early warning system for currency crises in emerging countries Lutfa Tilat Ferdous Khnd Md Mostafa Kamal Amirul Ahsan Nhung Hong Thuy Hoang Munshi Samaduzzaman Currency crisis Early warning system Emerging countries Logit model In this study we develop an early warning system (EWS) to forecast currency crises in emerging countries in Asia and Latin America, using logit regression on monthly data from 1992 to 2011. We found that macroeconomic and institutional variables are valuable indicators for forecasting crises. Our results show that a low level of export growth, current account surplus/GDP, GDP growth, a high level of real exchange rate growth, import growth, and short-term debt/reserves can explain the advent of a possible currency crisis. We found that a poor law and order scenario and high external conflict can lead to a currency crisis. Additional findings include high government stability and the absence of internal conflict, which contribute to an absence of democracy, ultimately leading to a currency crisis. The policy-makers can consider taking the effective pre-emptive actions to prevent the currency crises occurring in the future. 2022-10-27T02:33:54Z 2022-10-27T02:33:54Z 2022 Journal Article 1911-8074 https://digital.lib.ueh.edu.vn/handle/UEH/65251 https://doi.org/10.3390/jrfm15040167 en Journal of Risk and Financial Management Vol. 15, Issue 4 none Portable Document Format (PDF) MDPI |
| institution |
Đại học Kinh tế Thành phố Hồ Chí Minh |
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DSpaceUEH |
| language |
English |
| topic |
Currency crisis Early warning system Emerging countries Logit model |
| spellingShingle |
Currency crisis Early warning system Emerging countries Logit model Lutfa Tilat Ferdous An early warning system for currency crises in emerging countries |
| description |
In this study we develop an early warning system (EWS) to forecast currency crises in emerging countries in Asia and Latin America, using logit regression on monthly data from 1992 to 2011. We found that macroeconomic and institutional variables are valuable indicators for forecasting crises. Our results show that a low level of export growth, current account surplus/GDP, GDP growth, a high level of real exchange rate growth, import growth, and short-term debt/reserves can explain the advent of a possible currency crisis. We found that a poor law and order scenario and high external conflict can lead to a currency crisis. Additional findings include high government stability and the absence of internal conflict, which contribute to an absence of democracy, ultimately leading to a currency crisis. The policy-makers can consider taking the effective pre-emptive actions to prevent the currency crises occurring in the future. |
| author2 |
Khnd Md Mostafa Kamal |
| author_facet |
Khnd Md Mostafa Kamal Lutfa Tilat Ferdous |
| format |
Journal Article |
| author |
Lutfa Tilat Ferdous |
| author_sort |
Lutfa Tilat Ferdous |
| title |
An early warning system for currency crises in emerging countries |
| title_short |
An early warning system for currency crises in emerging countries |
| title_full |
An early warning system for currency crises in emerging countries |
| title_fullStr |
An early warning system for currency crises in emerging countries |
| title_full_unstemmed |
An early warning system for currency crises in emerging countries |
| title_sort |
early warning system for currency crises in emerging countries |
| publisher |
MDPI |
| publishDate |
2022 |
| url |
https://digital.lib.ueh.edu.vn/handle/UEH/65251 https://doi.org/10.3390/jrfm15040167 |
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AT lutfatilatferdous anearlywarningsystemforcurrencycrisesinemergingcountries AT lutfatilatferdous earlywarningsystemforcurrencycrisesinemergingcountries |
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