The Duration of Capital Account Crises—An Empirical Analysis
IMF Working Papers, November 1, 2007
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Bibliographic details
- Authors: David J Hofman, Ruben V Atoyan, Dimitri Tzanninis, Mauro Mecagni
- Published: November 1, 2007
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451868210.001
Overview and research design
- Authors: David J Hofman, Ruben V Atoyan, Dimitri Tzanninis, Mauro Mecagni
- Date: November 1, 2007
- Objective: Examine the duration of capital account crises; develop a new index to identify both the start and the end of crises.
- Sample: 18 crisis episodes.
- Methodology: Constructed index applied to sample episodes; used the econometric technique of duration analysis to assess factors affecting the probability of exiting a crisis.
- Focus area noted as relatively unexplored: economic and financial circumstances that prevailed at the dusk of crises.
Stylized facts and key findings
- A new index was developed to identify crisis start and end dates and applied to 18 crisis episodes.
- Duration analysis was used to derive stylized facts on crisis duration.
- Initial and external conditions are identified as key determinants of crisis duration.
- Fiscal and monetary policies can also help shorten crisis duration.
Policy-relevant implications
- Policy levers matter: fiscal policy measures can contribute to shortening crisis duration.
- Monetary policy measures can contribute to shortening crisis duration.
- Attention to initial conditions and external environment is critical for crisis exit prospects.
Publication and metadata
- Series: Working Paper No. 2007/258
- Issue: 258
- Volume: 2007
- Pages: 42
- DOI: https://doi.org/10.5089/9781451868210.001
- Stock No: WPIEA2007258
- ISBN: 9781451868210
- ISSN: 1018-5941
- Subject: Capital account crisis, Capital flows, Capital outflows, Exchange rates, Financial crises
- Keywords: crisis duration, crisis episode, IMF financing, IMF staff calculation, WP
IMF Working Papers — "The Duration of Capital Account Crises—An Empirical Analysis", David J Hofman, Ruben V Atoyan, Dimitri Tzanninis, and Mauro Mecagni, November 1, 2007.