Leading Indicators of Currency Crises: Are They the Same in Different Exchange Rate Regimes?

摘要

We investigate whether leading indicators of currency crises differ across exchange rate regimes using data for 88 countries in the period 1981-2010. Our estimates suggest that in fixed exchange rate regimes external indicators, such as deviations of the real exchange rate from trend and the growth of international reserves, have the strongest predictive power. In contrast, in floating exchange rate regimes monetary policy and credibility indicators, such as domestic credit growth and inflation, are the best leading indicators of currency crises. Both credibility and external economic indicators have predictive power in intermediate exchange rate regimes.