PREDICTING CURRENCY CRISIS IN DEVELOPING COUNTRIES: AN APPLICATION OF EARLY WARNING SYSTEM IN SOUTH EAST ASIAN COUNTRIES
Authors: Lan Nguyen The
Proceedings "Sustainable economic development of Vietnam in the new context"
: : 585
Publishing year: 10/2023
Using multivariate logit model, this study examine the probability of currency crisis
under the influences of four groups of factors in six ASEAN countries including Indonesia,
Malaysia, Philippines, Singapore, Thailand and Vietnam over the period of 1990-2020. Three
definitions of currency crisis have been employed through three approaches in calculating
exchange rate market index, i.e Kaminsky, Lizondo and Reinhart’s (KLR), Eichengreen, Rose
and Wyplosz’s (ERW) and Frankel and Rose’s (FR). The empirical analysis finds compelling
evidence that by in-sample prediction, the model performs remarkably well in predicting
currency crises in the area.
Currency crisis, Logit model
