Measurement of International Currency Crises: A Panel Data Approach Using Composite Indices
36 Pages Posted: 15 Feb 2009
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: Suggested Citation
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