Politická ekonomie 2016, 64(4):420-438 | DOI: 10.18267/j.polek.1079

Aplikace modelů diskrétní volby k analýze příčin měnových krizí

Jiří Pour
Vysoká škola ekonomická v Praze.

Application of Discrete Choice Models on Analysis of Causes of Currency Crises

This paper analyzes an influence of some economic variables to a probability of the occurrence of currency crises. The variables were at first derived theoretically and then analyzed using logit regression on panel data for up to 78 countries of the word in 1980-2012. The analysis shows that the indicators mostly considered as measures of external economic balance - current account and net foreign assets - have not much statistical significant impact on the risk of currency crisis. Much more important is a structure of foreign liabilities in terms of liquidity - a greater share of foreign direct investments on foreign liabilities and a lower share of short term foreign debt to total debt statistically significantly reduce the risk of crises. The risk significantly decreases also with higher trade openness, faster GDP growth and underestimation of nominal exchange rate with respect to the purchasing power parity. Signs of parameters of these variables are staying unchanged even if we estimate over two thousand models.

Keywords: logit, intertemporal solvency, external imbalances, exchange market pressure index, currency crisis
JEL classification: F3, F4

Published: August 1, 2016  Show citation

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Pour, J. (2016). Application of Discrete Choice Models on Analysis of Causes of Currency Crises. Politická ekonomie, 64(4), 420-438. doi: 10.18267/j.polek.1079
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