Measurement of International Currency Crises: A Panel Data Approach Using Composite Indices

36 Pages Posted: 15 Feb 2009

See all articles by K. V. Bhanu Murthy

K. V. Bhanu Murthy

University of Delhi - School of Economics - Commerce Department; Delhi Technological University

Dr.Anjala Kalsie

Fortune Institute of International Business

Date Written: February 15, 2009

Abstract

This paper seeks to measure international currency crisis. It has taken the case of the A5 countries in 1997 and has developed a methodology meant to measure and explain currency crisis. The study uses Jha & Murthy (2006) approach for constructing composite indices for capturing the causes - macro-economic and financial - as well as an index of crisis. It combines continuous and discrete approaches defining and for measuring crises. It uses India as a 'control' which enables international and inter-temporal comparisons during crisis.

With the help of these indices a panel regression model is developed for explaining the crisis. The paper measures the decomposition effects of causal financial and macro variables on the crises.

Keywords: International Currency Crisis, Composite Index, Panel Regression, Asian Crisis, PCA

JEL Classification: C23, E17, E32, E44, E47, E65, F31, F47, G15

Suggested Citation

Murthy, K. V. Bhanu and Kalsie, Anjala, Measurement of International Currency Crises: A Panel Data Approach Using Composite Indices (February 15, 2009). Available at SSRN: https://ssrn.com/abstract=1344050 or http://dx.doi.org/10.2139/ssrn.1344050

K. V. Bhanu Murthy (Contact Author)

University of Delhi - School of Economics - Commerce Department ( email )

59 Vaishali Enclave
Pitampura
Delhi, 110034
India
+91 11 27667891 (Phone)

Delhi Technological University ( email )

Delhi
India

Anjala Kalsie

Fortune Institute of International Business ( email )

Vasant Gaon
New Delhi, 110021
India

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