A Model of the Joint Distribution of Banking and Exchange-Rate Crises

We develop a simple framework for studying the joint distribution of banking and currency crises triggered by real shocks. Our framework illustrates the fact that bank and currency collapses are related but they are not the same thing. Studying currency and bank collapses either in isolation or in perfect correlation with each other is inappropriate, producing biased estimates of the likelihood of crises.

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Year of publication:	2001-12-01
Authors:	Marion, Nancy P. ; Flood, Robert P.
Institutions:	International Monetary Fund (IMF)
Subject:	Banking \| Economic models \| exchange rate \| shadow exchange rate \| fixed exchange rate \| hedging \| domestic-currency \| exchange rates \| international reserves \| bonds \| foreign exchange \| money market \| liquidity support \| currency crisis \| currency crises \| flexible exchange rate \| spot exchange rate \| home currency \| financial institutions \| bond \| shadow exchange rates \| interest rate policy \| domestic bonds \| bond financing \| international finance \| financial sector \| foreign exchange market \| foreign bonds \| domestic interest rates \| hedge \| hedges \| hedging strategies \| currency depreciation \| fixed exchange rates \| deposit insurance \| international capital markets \| financial fragility \| international capital \| reserve requirement \| domestic money market \| denominated bonds \| government bonds \| international financial system \| financial assets \| financial systems \| financial system

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Extent:	application/pdf
Series:	IMF Working Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series IMF Working Papers Number 01/213 3 pages long
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005768974