The Evidence and Impact of Financial Globalization

Chapter 33

Models of Currency Crises

R. Glick* and M.M. Hutchison^†

^*Federal Reserve Bank of San Francisco, San Francisco, CA, USA

^†University of California, Santa Cruz, CA, USA

Outline

Introduction

Causes of Currency Crises

Currency Crisis Models

Impossible Trinity

Association with Other Crises

Incidence of Currency Crises

Crisis Definitions and Measurement Issues

Frequency of Currency Crises

Predicting Currency Crises

Determinants

Statistical Methodology

Event study approach

Signaling approach

Probit and other approaches

Assessment of Crisis Prediction Approaches

Globalization, Capital Controls, and Currency Crises

Effects of Currency Crises

Glossary

References

Relevant Websites

Introduction

A currency crisis may be defined as a speculative ...