Quantitative analysis of crisis: crisis identification and causality, Vol. 1 of 1

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Quantitative analysis of crisis: crisis identification and causality

Author:	Ishihara, Yoichiro;	Collection Title:	Policy Research working paper series ; no. WPS 3598
Country:	Korea, Republic of; Philippines; Malaysia; Indonesia; Thailand;	Date Stored:	2005/05/15
Document Date:	2005/05/01	Document Type:	Policy Research Working Paper
Language:	English	Region:	East Asia and Pacific
Report Number:	WPS3598	SubTopics:	Governance Indicators; Economic Theory & Research; Macroeconomic Management; Financial Crisis Management & Restructuring; Banks & Banking Reform
Volume No:	1 of 1

Summary: Studies use different conceptual and operational definitions of crises. The different crisis identifications can lead to inconsistent conclusions and policy formulation even if the same analytical framework is applied. Also, most studies focus on only a few types of crises. This narrow focus on crises may not capture the multidimensionality of crises. Seven crisis types are analyzed, namely (1) liquidity type banking crises, (2) solvency type banking crises, (3) balance of payments crises, (4) currency crises, (5) debt crises, (6) growth rate crises, and (7) financial crises. Crisis data were collected from 15 emerging economies in 1980-2002 on a quarterly basis. The crisis identification exercise finds that multidimensionality in which different crisis types occur in short periods is one of the most important characteristics of recent crises. Further, the Granger causality tests in five Asian economies (Indonesia, the Republic of Korea, Malaysia, the Philippines, and Thailand) find that currency crises tend to trigger other types of crises, and therefore exchange rate management is essential.


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