The Duration of Capital Account Crises

The Duration of Capital Account Crises—An Empirical Analysis

By David J Hofman, Ruben V Atoyan, Dimitri Tzanninis, Mauro Mecagni

November 1, 2007

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Format: Chicago

David J Hofman, Ruben V Atoyan, Dimitri Tzanninis, and Mauro Mecagni. The Duration of Capital Account Crises—An Empirical Analysis, (USA: International Monetary Fund, 2007) accessed November 8, 2024

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.

Subject: Capital account crisis, Capital flows, Capital outflows, Exchange rates, Financial crises

Keywords: Crisis duration, Crisis episode, IMF financing, IMF staff calculation, WP

Publication Details

Pages:

42
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2007/258
Stock No:

WPIEA2007258
ISBN:

9781451868210
ISSN:

1018-5941

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