Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/212595 
Year of Publication: 
2007
Series/Report no.: 
BOFIT Discussion Papers No. 4/2007
Publisher: 
Bank of Finland, Institute for Economies in Transition (BOFIT), Helsinki
Abstract: 
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.
Subjects: 
Currency crisis
term structure of interest rates
transition economies
JEL: 
F31
F34
E43
Persistent Identifier of the first edition: 
ISBN: 
978-952-462-854-9
Document Type: 
Working Paper

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