Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/71942
Authors: 
Crespo Cuaresma, Jesus
Slacik, Tomas
Year of Publication: 
2007
Series/Report no.: 
Working Papers in Economics and Statistics 2007-10
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
Document Type: 
Working Paper

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