PREDICTION OF CURRENCY CRISES USING A FISCAL SUSTAINABILITY INDICATOR

The purpose of this paper is to investigate whether a fiscal sustainability indicator (FSI) can be used as a leading indicator to predict currency crises. Firstly, the sustainability of the fiscal policy in 17 developing countries is analysed using a FSI developed by Croce and Juan-Ramón (2003). The...

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Autor principal:	CRUZ-RODRIGUEZ,ALEXIS
Lenguaje:	English
Publicado:	ILADES. Universidad Alberto Hurtado. 2011
Materias:	Currency crisis foreign exchange fiscal sustainability
Acceso en línea:	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-88702011000200002
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spelling	oai:scielo:S0718-887020110002000022012-04-23PREDICTION OF CURRENCY CRISES USING A FISCAL SUSTAINABILITY INDICATORCRUZ-RODRIGUEZ,ALEXIS Currency crisis foreign exchange fiscal sustainability The purpose of this paper is to investigate whether a fiscal sustainability indicator (FSI) can be used as a leading indicator to predict currency crises. Firstly, the sustainability of the fiscal policy in 17 developing countries is analysed using a FSI developed by Croce and Juan-Ramón (2003). Then, the FSI is evaluated in order to help predict currency crises. Using a nonlinear Markov-switching model, and applying the Gibbs sampling approach, it is found that the FSI influences the probability of entering a currency crisis period. Also, in the absence of official definitions for currency crises, different definitions are used to evaluate whether they induce different results in the analysis. In general, the results highlight how an unsustainable fiscal position leads to the eventual collapse of the exchange rate in some developing countries.info:eu-repo/semantics/openAccessILADES. Universidad Alberto Hurtado.Revista de análisis económico v.26 n.2 20112011-12-01text/htmlhttp://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-88702011000200002en10.4067/S0718-88702011000200002
institution	Scielo Chile
collection	Scielo Chile
language	English
topic	Currency crisis foreign exchange fiscal sustainability
spellingShingle	Currency crisis foreign exchange fiscal sustainability CRUZ-RODRIGUEZ,ALEXIS PREDICTION OF CURRENCY CRISES USING A FISCAL SUSTAINABILITY INDICATOR
description	The purpose of this paper is to investigate whether a fiscal sustainability indicator (FSI) can be used as a leading indicator to predict currency crises. Firstly, the sustainability of the fiscal policy in 17 developing countries is analysed using a FSI developed by Croce and Juan-Ramón (2003). Then, the FSI is evaluated in order to help predict currency crises. Using a nonlinear Markov-switching model, and applying the Gibbs sampling approach, it is found that the FSI influences the probability of entering a currency crisis period. Also, in the absence of official definitions for currency crises, different definitions are used to evaluate whether they induce different results in the analysis. In general, the results highlight how an unsustainable fiscal position leads to the eventual collapse of the exchange rate in some developing countries.
author	CRUZ-RODRIGUEZ,ALEXIS
author_facet	CRUZ-RODRIGUEZ,ALEXIS
author_sort	CRUZ-RODRIGUEZ,ALEXIS
title	PREDICTION OF CURRENCY CRISES USING A FISCAL SUSTAINABILITY INDICATOR
title_short	PREDICTION OF CURRENCY CRISES USING A FISCAL SUSTAINABILITY INDICATOR
title_full	PREDICTION OF CURRENCY CRISES USING A FISCAL SUSTAINABILITY INDICATOR
title_fullStr	PREDICTION OF CURRENCY CRISES USING A FISCAL SUSTAINABILITY INDICATOR
title_full_unstemmed	PREDICTION OF CURRENCY CRISES USING A FISCAL SUSTAINABILITY INDICATOR
title_sort	prediction of currency crises using a fiscal sustainability indicator
publisher	ILADES. Universidad Alberto Hurtado.
publishDate	2011
url	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-88702011000200002
work_keys_str_mv	AT cruzrodriguezalexis predictionofcurrencycrisesusingafiscalsustainabilityindicator
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PREDICTION OF CURRENCY CRISES USING A FISCAL SUSTAINABILITY INDICATOR

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