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Erscheinungsjahr: 
2007
Schriftenreihe/Nr.: 
Working Papers in Economics and Statistics No. 2007-10
Verlag: 
University of Innsbruck, Department of Public Finance, Innsbruck
Zusammenfassung: 
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 happening after one week but in less than a month. We give empirical evidence that the indicator performs well for two important currency crises in Eastern Europe: the crisis in the Czech Republic in 1997 and the Russian crisis in 1998.
Schlagwörter: 
currency crisis
term structure of interest rates
transition economies
JEL: 
F31
F34
E43
Dokumentart: 
Working Paper

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