Working Papers in Economics and Statistics On the determinants of currency crises : The role of model uncertainty

  title={Working Papers in Economics and Statistics On the determinants of currency crises : The role of model uncertainty},
  author={Jes{\'u}s Crespo Cuaresma and Tomas Slacik},
We tackle explicitly the issue of model uncertainty in the framework of binary variable models of currency crises. Using Bayesian model averaging techniques, we assess the robustness of the explanatory variables proposed in the recent literature for both static and dynamic models. Our results indicate that the variables belonging to the set of macroeconomic fundamentals proposed by the literature are very fragile determinants of the occurrence of currency crises. The results improve if the… CONTINUE READING


Publications referenced by this paper.
Showing 1-10 of 11 references

What Happened to Asia

  • P. 347–407. Krugman
  • Massachussets Institute of Technology
  • 1998
Highly Influential
3 Excerpts

Pruckner : Proportionality of willingness to pay to small changes in riskThe impact of attitudinal factors in scope tests

  • Andrea M. Leiter, J. Gerald
  • The Dark Side of Globalization . The Vicious…
  • 2007

Are Emerging Market Currency Crises Predictable? – A Test

  • T. A. 189–213. Peltonen
  • 2006
1 Excerpt

Determinants of Long-Term Growth: A Bayesian Averaging of Classical Estimates (BACE) Approach

  • X. Sala-i-Martin, G. Doppelhofer, R. Miller.
  • In: American Economic Review 94. 813–835.
  • 2004

A Model of Balance-of-Payment Crisis

  • G. Koop
  • Journal of International Economics
  • 2003
2 Excerpts

BIS Papers No

  • Bank for International Settlements.
  • 16: Guide to the international
  • 2003
2 Excerpts

The Logic of Currency Crises

  • T. A. Peltonen
  • 1994

Growth Regressions

  • P. Garber
  • Journal of Applied Econometrics
  • 1984
1 Excerpt

Similar Papers

Loading similar papers…