A Model of the Joint Distribution of Banking and Exchange-Rate Crises
December 1, 2001
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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.
Subject: Banking, Central banks, Conventional peg, Currencies, Domestic credit, Exchange rates, Foreign exchange, International reserves, Money
Keywords: bank assets, bank collapse, bank crisis, bank return, break-even point, central bank, Conventional peg, Currencies, currency collapse, Currency crisis, Domestic credit, exchange rate, Exchange rates, foreign currency, International reserves, WP
Pages:
32
Volume:
2001
DOI:
Issue:
213
Series:
Working Paper No. 2001/213
Stock No:
WPIEA2132001
ISBN:
9781451874945
ISSN:
1018-5941
