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Full Length Research Paper
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An empirical
analysis of currency crises, fundamentals and speculative
pressure
Nil R. Gunsel , Turgut Tursoy* and Husam
Rjoub
Department of Banking and Finance, Faculty of Economics and
Administrative Sciences, Near East University, Nicosia, P. O.
Box 670, Lefkosa, North Cyprus, Mersin 10, Turkey.
*Corresponding author. E-mail:
ttursoy@neu.edu.tr.
Tel: 9-0392-223-6464.
Fax: 9-0392-223-6461.
Accepted 11 May, 2010 |
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Abstract |
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The main purpose of this paper is to investigate the linkage
between economic fundamentals and currency crises for four
different group of countries that experience very different
growth path or crises from 1991 to 2006. For this purpose, logit
model was used in identifying the determinants of the currency
crises’ likelihood and the market pressure index (MPI) were used
in determining the currency crises of the four different groups
of countries. The study selects Argentina, Brazil and Mexico
from America; Malaysia, Philippines, South Korea and Thailand
from East and Southeast Asia; Russia and Turkey. The empirical
findings stated that: (1) real interest rate, rate of inflation,
growth rate of GDP, budget balance, real exchange rate and the
ratio of M2 to foreign exchange reserves were statistically
significant explanatory variables; (2) however, domestic credit
to GDP and various types of trade variables were not
statistically significant.
Key words:
Determinants of currency crises, market pressure index, Logit
model. |
