Building a Surveillance Framework for Currency Crises in Indonesia

Advances in Finance, Accounting, and Economics - Handbook of Research on Financial and Banking Crisis Prediction through Early Warning Systems ◽

10.4018/978-1-4666-9484-2.ch009 ◽

2016 ◽

pp. 173-193

Author(s):

Dimas Bagus Wiranatakusuma ◽

Ricky Dwi Apriyono

Keyword(s):

Early Warning System ◽

Extraction Method ◽

Currency Crises ◽

Real Exchange Rates ◽

Financial System ◽

Warning System ◽

Signal Extraction ◽

Open Position ◽

Market Pressure ◽

Domestic Inflation

There seems to be no single country that can escape from currency crises. This paper aims to answer: (i) How to determine exchange market pressure (EMP)? and (ii) To what extent the contribution of selected indicators to the prediction of currency crises?. The study adopts indicators developed by Kaminski, et.al (1999) by using signal extraction method as the early warning system (EWS) mechanism. By employing four selected variables, International reserve, real exchange rates, credit growth, and domestic inflation, the findings suggest the periods of crises fluctuated over the observations under various thresholds. The EMP touched the Kaminsky's line only during the Asian and global financial crises. Meanwhile, the Garcia's, Park's and Lestano's line was passed through frequently over the observations, and it implies that the financial system was cyclically under shocks. In conclusion, the currency crises frequently appear attacking Indonesia's financial system so that need to be mitigated by net open position (NOP) as macroprudential instrument.

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Building a Surveillance Framework for Currency Crises in Indonesia

Censorship, Surveillance, and Privacy ◽

10.4018/978-1-5225-7113-1.ch038 ◽

2019 ◽

pp. 718-739

Author(s):

Dimas Bagus Wiranatakusuma ◽

Ricky Dwi Apriyono

Keyword(s):

Early Warning System ◽

Extraction Method ◽

Currency Crises ◽

Real Exchange Rates ◽

Financial System ◽

Warning System ◽

Signal Extraction ◽

Open Position ◽

Market Pressure ◽

Domestic Inflation

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Currency crises in EU candidate countries: An early warning system approach

Panoeconomicus ◽

10.2298/pan1504493b ◽

2015 ◽

Vol 62 (4) ◽

pp. 493-510 ◽

Cited By ~ 7

Author(s):

Vesna Bucevska

Keyword(s):

Early Warning ◽

Early Warning System ◽

Currency Crises ◽

Warning System ◽

Growth Potential ◽

Short Term ◽

Gdp Growth Rate ◽

Fiscal Balance ◽

Eu Candidate Countries ◽

External Indebtedness

The purpose of this paper is to develop an econometric model of early warning system (EWS) for predicting currency crises in EU candidate countries. Using actual quarterly panel data for three EU candidate countries (Croatia, Macedonia and Turkey) in the period January 2005 - June 2010, we estimate a binomial logit model, which accurately predicts potential episodes of outbreak of currency crisis. In addition, we find that real GDP growth rate, participation in an IMF loan program, current account and fiscal balance and short-term external indebtedness are the most significant common predictors of currency crises across EU candidate countries. These results imply implementing policy measures aimed at raising the growth potential of the domestic economies of EU candidate countries, monitoring their short-term external indebtedness, improving their external competitiveness, cutting public spending and increasing the confidence of residents and non-residents in their domestic banking sectors.

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An Early Warning System for currency crises in Argentina and Brazil 1990-2009

EconoQuantum ◽

10.18381/eq.v14i2.7100 ◽

2018 ◽

Vol 14 (2) ◽

pp. 47-68

Author(s):

Tjeerd M. Boonman ◽

◽

Jan P. A. M. Jacobs ◽

Gerard H. Kuper ◽

◽

...

Keyword(s):

Early Warning ◽

Early Warning System ◽

Currency Crises ◽

Warning System

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Dating Banking and Currency Crises in Turkey, 1990-2014

Advances in Finance, Accounting, and Economics - Handbook of Research on Financial and Banking Crisis Prediction through Early Warning Systems ◽

10.4018/978-1-4666-9484-2.ch012 ◽

2016 ◽

pp. 240-273

Author(s):

Ali Ari ◽

Raif Cergibozan ◽

Sedat Demir

Keyword(s):

Financial Crisis ◽

Financial Crises ◽

Early Warning System ◽

Currency Crises ◽

Global Financial Crisis ◽

Empirical Studies ◽

Banking Crisis ◽

Warning System ◽

Turkish Economy ◽

The Global Financial Crisis

The last two decades characterized by financial crisis episodes have seen a proliferation of empirical studies. These early warning system models allowed researchers to distinguish certain key determinants of financial crises, and helped predicting and preventing the occurrence of some crises. However, crises continue to arise as recently illustrated by the onset of the global financial crisis. This clarifies that there are still a lot to learn about financial crises. In this sense, this paper aimed to compare the performance of several currency and banking crisis indicators within the Turkish economy which underwent severe financial crises in the last twenty years. Different currency crisis indicators performed well by detecting the 1994, 2001 and 2008 currency crises, while banking crisis indicators had significant inconsistencies. However, two banking crisis indicators we developed stand for valuable efforts in dating banking crises by constructing aggregate indexes, and contribute significantly to the empirical crisis literature.

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