By using data from the Mexican economy, this paper estimates a speculative attack model of currency crises in order to identify the role of macroeconomic fundamentals and early warning signals of a potential currency crisis. A deterioration in fundamentals appears to generate high one-step-ahead...

This paper examines the interaction between capital flows and international reserve holdings in the context of increasing financial integration. For emerging markets the sensitivity of reserves to net capital flows was negative in the 1980s, but became positive after the Asian crisis when these...

This paper provides evidence on the susceptibility of different types of exchange rate regimes to currency crises during 1990-2001. It explores the incidence of crises, identified as episodes of severe exchange market pressure, to seek evidence on whether pegged regimes are more crisis prone...

This paper implements a regime-switching framework to study speculative attacks against EMS currencies during 1979-1993. To identify speculative episodes, we model exchange rates, reserves, and interest rates as time series subject to discrete regime shifts between two possible states:...

This paper analyzes the relationship between economic fundamentals and balance-ofpayments crises for the three Nordic countries, Norway, Sweden, and Finland, during 1971-1992. To identify periods of balance-of-payments crisis a method first introduced by Eichengreen, Rose, and Wyplosz (1996) was...

This paper examines the issue of speculative attacks on the exchange rate in an economy in which. following the attack the government allows the exchange rate to float for a limited period, before repegging it at a higher, sustainable, level. We highlight the tradeoffs between the length of the...

This paper examines the regime changes in the Exchange Rate Mechanism (ERM) of the European Monetary System (EMS), applying the duration model approach to weekly data of eight currencies participating in the ERM, covering the complete EMS history. When using the non-parametric (univariate)...

I study the pricing of American Depositary Receipts around FOMC meetings to identify the impact of US monetary policy on managed exchange rates. ADR investors assess the domestic central bank's reluctance to maintain a currency peg regime if the costs of mimicking policy rate increases in the US...

Using data from 17 countries that have suffered a currency crisis, this paper studies firm-level leverage and performance measures before and after a crisis has occurred. We show that in the years preceding a currency crisis, companies that are expected to benefit from currency depreciations...