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| Author: | Cuaresma, J.C. Slacik, T. |
| Title: | An almost-too-late warning mechanism for currency crises |
| Journal: | Economics of transition
2010 : JAN, VOL. 18:1, p. 123-141 |
| Index terms: | currency term structure of interest rates transition economies eastern europe Russia Czech Republic |
| Freeterms: | crisis warning mechanism |
| Language: | eng |
| Abstract: | The paper uses to evaluate the relative probability of a crisis occurring in one week as compared to a crisis happening after one week but in less than a month. The author argues exploiting the term structure of relative interest rates to obtain estimates of changes in the timing of a currency crisis as perceived by market participants. In fact,the indicator performs well for two important currency crises in Eastern Europe: the crisis in the Czech Republic in 1997 and the Russian crisis in 1998. |
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