Crespo Cuaresma, Jesýs; Slacik, Tomas - Siirtymätalouksien tutkimuslaitos, Suomen Pankki - 2007
We propose 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. Our indicator can be used to evaluate the relative probability of a crisis occurring in one week as compared to a crisis...