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Title: Measurement of International Currency Crises: A Panel Data Approach using Composite Indices
Authors: K V Bhanu Murthy, Anjala Kalsie
Issue/Year: Oct-2013
Section: Research
Abstract: This paper develops a model to measure international currency crisis of A5 countries in 1997 by constructing composite indices for capturing the macro-economic and financial causes – as well as an index of crisis. It uses India as a ‘control’ which enables international and inter-temporal comparisons during crisis. The index of crises is found to consist of exports, exchange rate, and interest rate. The financial index contains risk rating, domestic financing, and stock traded. The index of macro variables is based on GDP, capital formation and budget balance. Macro index is found to negatively influence crises while financial index influences crisis positively.
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