Exchange Arrangements and Currency Crises: What´s the matter with the exchange rate classification?
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Keywords

Exchange rate regimes
Currency crises
Speculative attacks.

How to Cite

CRUZ-RODRIGUEZ, A. (2016). Exchange Arrangements and Currency Crises: What´s the matter with the exchange rate classification?. Journal of Economics and Political Economy, 3(2), 377–392. https://doi.org/10.1453/jepe.v3i2.859

Abstract

Abstract. The purpose of this paper is to empirically investigate whether certain exchange rate arrangements are more prone to currency crises using a probit model. We define a currency crisis as a period characterised by the presence of intense foreign exchange market pressure. The definition is based on a foreign exchange market pressure index (MPI). If the value of the MPI is above a certain threshold, we define that period as a crisis state; otherwise the period is defined as a tranquil state. The definition of currency crises used in this paper focuses on discrete events.

Keywords. Exchange rate regimes, currency crises, speculative attacks.

JEL. F10, F31, F32.

https://doi.org/10.1453/jepe.v3i2.859
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