The Duration of Capital Account Crises—An Empirical Analysis

Author/Editor:

David J Hofman ; Ruben V Atoyan ; Dimitri Tzanninis ; Mauro Mecagni

Publication Date:

November 1, 2007

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:

This paper examines the duration of capital account crises. We develop a new index to identify both the start and the end of these crises. Applying the index to a sample of 18 crisis episodes, we derive stylized facts on crisis duration and review the economic and financial circumstances that prevailed at the dusk of crises, a relatively unexplored area. We use the econometric technique of duration analysis to gauge the relative importance of various factors affecting the probability of exiting a crisis. We find that initial and external conditions are key determinants. But fiscal and monetary policies can also help shorten crisis duration.

Series:

Working Paper No. 07/258

Subject:

English

Publication Date:

November 1, 2007

ISBN/ISSN:

9781451868210/1018-5941

Stock No:

WPIEA2007258

Price:

$18.00 (Academic Rate:$18.00)

Format:

Paper

Pages:

42

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