<< N°156
| N°156 | ||
| Issue Q4 2018 | ||
| Forecasting currency crises with threshold models | ||
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Terence T.L. Chong Isabel K. Yan |
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| This paper develops a multi-factor threshold model to provide warning signals for currency crises. Using a panel data set for 16 economies over 20 years, it is found that the ratio of short-term external liabilities to reserves and the lending rate differential are valid threshold variables that can segregate “turbulent” from “tranquil” regime. The corresponding threshold estimates can provide useful pivotal points for governments to formulate regulatory policy measures to reduce the risk of financial crises. |
Abstract |
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| Threshold model ; Multiple threshold variables ; Currency crisis ; Panel data ; | Keywords | |
| C33 ; C12 ; C13 ; | JEL classification | |
| Order form |