Is there a relationship between fiscal sustainability and currency crises? International evidence based on causality tests

Alexis Cruz-Rodriguez

MPRA Paper from University Library of Munich, Germany

Abstract: This paper uses Granger causality tests on a fiscal sustainability indicator (FSI) and currency crises for 17 countries to evaluate the direction of causality between the FSI and currency crises. The FSI developed by Croce and Juan-Ramón (2003) is used. Also, different definitions for currency crises are used to evaluate whether they induce different results in the analysis. In general, the results suggest evidence of causality between the lagged FSI and currency crises.

Keywords: Currency crisis; foreign exchange; fiscal sustainability; Granger causality (search for similar items in EconPapers)
JEL-codes: E62 F31 F33 (search for similar items in EconPapers)
Date: 2014-04-10
References: Add references at CitEc
Citations:

Published in International Journal of Economic Sciences and Applied Research 1.7(2014): pp. 69-87

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/72103/1/MPRA_paper_72103.pdf original version (application/pdf)

Related works:
Journal Article: Is there a relationship between fiscal sustainability and currency crises? International evidence based on causality tests (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:72103

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().