Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154251
Authors: 
Heinz, Frigyes Ferdinand
Rusinova, Desislava
Year of Publication: 
2015
Series/Report no.: 
ECB Working Paper 1818
Abstract: 
Using extreme value theory tools, we demonstrate that the distributions of the exchange market pressure (EMP) series for most of twelve emerging Europe countries have heavy tails, and disregarding their tail properties may lead to substantial underestimation of the probability of tail events. Using an extreme-value-based EMP crisis definition leads to a different set of crisis determinants compared to a definition based on standard errors. The probability of extreme EMP periods in our sample is affected by global risk aversion, regional contagion, the level of international reserves, foreign direct investment, history of past crises and accumulated domestic credit and real exchange rate related imbalances.
Subjects: 
Contagion
Currency crisis
Exchange market pressure
Extreme value theory
Macroeconomic imbalances
JEL: 
C10
E44
F37
F32
G01
ISBN: 
978-92-899-1631-8
Document Type: 
Working Paper

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