A Model of the Joint Distribution of Banking and Exchange-Rate Crises

Author/Editor:

Nancy P. Marion ; Robert P Flood

Publication Date:

December 1, 2001

Electronic Access:

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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary:

We develop a simple framework for studying the joint distribution of banking and currency crises triggered by real shocks. Our framework illustrates the fact that bank and currency collapses are related but they are not the same thing. Studying currency and bank collapses either in isolation or in perfect correlation with each other is inappropriate, producing biased estimates of the likelihood of crises.

Series:

Working Paper No. 2001/213

Subject:

Banking Central banks Conventional peg Currencies Domestic credit Exchange rates Foreign exchange International reserves Money

English

Publication Date:

December 1, 2001

ISBN/ISSN:

9781451874945/1018-5941

Stock No:

WPIEA2132001

Pages:

32

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