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Dating Currency Crisis and Assessing the Determinants Based on Meta Fuzzy Index Functions

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Abstract

We use Meta Fuzzy Index Functions to date currency crises in Turkey over the period of January 1990 and October 2019 by aggregating ten different currency crisis indices. In order to assess the determinants of currency crises, we employed logit regression models based on four different groups of explanatory variables. We have found that change in real exchange rate among current account variables, central bank foreign assets over M1, foreign reserves over M1, growth of foreign reserves, growth of central bank foreign assets among capital account variables, credit growth and banking deposits over M2 among the banking variables, real interest rate, inflation rate, change in stock prices, industrial production index and public sector credit growth among the financial variables are significant determinants of currency crises. All of the significant variables except banking deposits over M2 are robust.

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Authors and Affiliations

  1. Department of Economics, Kırklareli University, Kırklareli, Turkey

    Adem Gök & Nihat Tak

Authors
  1. Adem Gök
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  2. Nihat Tak
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Contributions

Adem Gök: Original Draft, Conceptualization, Investigation, Validation, Visualization, Writing, Review & Editing, Proofreading, Software (E-views) Nihat Tak: Original Draft, Conceptualization, Investigation, Validation, Visualization, Writing, Review & Editing, Proofreading, Software (R).

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Correspondence to Adem Gök.

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There are no conflict of interest or competing interests in the paper.

Availability of Data and Material

All the data is taken from IMF’s International Financial Statistics (IFS) and Central Bank of Republic of Turkey (CBTR) as we we stated in Appendix 1.

Code Availability

We have used custom code with R-Studio for Sect. 4, Stata and E-views for Sect. 5.

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Appendix 1

Appendix 1

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Table 8 The List of Indicators and Variables
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8.

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Gök, A., Tak, N. Dating Currency Crisis and Assessing the Determinants Based on Meta Fuzzy Index Functions. Comput Econ 61, 1225–1250 (2023). https://doi.org/10.1007/s10614-022-10243-9

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