Template-Type:ReDIF-Paper 1.0  
Title: Sources of Currency Crisis: An Empirical Analysis 
Author-Name: Weber, Axel A. 
Classification-JEL:   F0, F3 
Keywords: 	exchange rates, speculation, fundamentals, currency crisis, purchasing, power parity, structural
	vector autoregression, impulse response 
Abstract: Two types of currency crisis models coexist in the literature: first generation models view speculative
	attacks as being caused by economic fundamentals which are inconsistent with a given parity. Second
	generation models claim self-fulfilling speculation as the main source of a currency crisis. Recent empirical
	research in international macroeconomics has attempted to distinguish between the sources of currency crises.
	This paper adds to this literature by proposing a new empirical approach to identifying the speculative and
	fundamental components of currency crises in the context of a structural vector autoregression model. Our
	results suggest that only for the French franc can a substantial speculative component be identified as a
	potential source of the 1992-93 ERM crisis. 
Length: pages
Creation-Date: 1997-11
Revision-Date: 
Handle: RePEc:bon:bonsfb:418
File-URL: http://www.wiwi.uni-bonn.de/bgsepapers/bonsfb/bonsfb418.pdf
File-Format: application/pdf
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