Signaling currency crises in South Africa - South African Reserve Bank

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SARB Conference 2006International Monetary Fund. 1998. World Economic Outlook. Washington, DC: InternationalMonetary Fund.Kamin, S, Schindler, J and Samuel, S. 2001. The Contributions of Domestic and ExternalFactors to Emerging Market Devaluation Crises: An Early Warning Systems Approach. Board ofGovernors of the Federal Reserve System. International Finance Discussion Papers, 711.Kaminsky, G L and Reinhart, C M. 1996. The Twin Crises: The Causes of Banking andBalance-of-Payments Problems. Board of Governors of the Federal Reserve System.International Finance Discussion Papers, 544.Kaminsky, G L and Reinhart, C M. 1999. The Twin Crises: Causes of Banking and Balance-of-Payments Crises. American Economic Review, 89(3), 473-500.Kaminsky, G L, Lizondo, S and Reinhart, C M. 1998. Leading Indicators of Currency Crises.IMF Staff Papers, 45(1).Krkoska, L. 2001. Assessing Macroeconomic Vulnerability in Central Europe. Post CommunistEconomies, 13(1), 41-55.Krugman, P. 1979. A model of balance-of-payment crises. Journal of Money, Credit andBanking, 11, 311-325.Kumar, M, Moorthy, U and Perraudin, W. 2002. Predicting Emerging Market Currency Crashes.IMF Working Paper 02/07. Washington, DC: International Monetary Fund.Mboweni, T T. 2000. A New Monetary Policy Framework. Statement by the Governor of theSARB. Annex to the Statement of the Monetary Policy Committee. 06.04.2000 at:http://www.resbank.co.za/internet/publication.nsf [29.07.2003].Mboweni, T T. 2001. Volatility in Currency Markets and its Impact on Monetary Policy. Addressby the Governor of the SARB. 14. May 2001 at:http://www.resbank.co.za/Address/2001/14052001.html [19.10.2001].Moreno, R. 2000. Pegging and Macroeconomic Performance in East Asia. Federal ReserveBank of San Francisco. Pacific Basin Working Paper Series PB00-03.Myburgh Commission. 2002. Final Report of the Commission of Inquiry into the RapidDepreciation of the Rand and Related Matters at:http://www.doj.gov.za/2004dojsite/commissions/comm_rand/final%20report.htm [22.08.2006].Nag, A and Mitra, A. 1999. Neural Networks and Early Warning Indicators of Currency Crisis.Reserve Bank of India Occasional Papers, 20(2), 183-222.Obstfeld, M. 1986. Rational and Self-fulfilling Balance-of-Payment Crises. American EconomicReview, 76, 72-81.Peltonen, T A. 2006. Are emerging market currency crises predictable? A test. EuropeanCentral Bank Working Paper, 571.Schaling, E and Schoeman, C. 2000. Foreign Exchange Market Intervention in South Africaduring the Asian Contagion: Leaning against the Wind or Causing a Hurricane? ResearchPaper No. 5. Auckland Park: Rand Afrikaans University.South African Reserve Bank. 2006. Quarterly Bulletin. Various issues.Stals, C. 1999. The South African Economy in a World of Volatile Financial Markets. Speech.At: http://www.resbank.co.za/Address/1999/ad250599.html [19.10.2001].216Knedlik
SARB Conference 2006AppendixCrisismonths1994/031994/071994/081996/031996/041996/051996/101998/051998/061998/071998/082000/052001/102001/122004/012005/06EMP method including exchangerates, interest rates, and reserves1.5 1.645 1.75 2.0 2.5XXXX X X X XX X X X XX X X X XX! X! X! X! X!X! X! X! X!X! X! X! X! X!3.0XXXX!EMP method including exchangerates only1.5 1.645 1.75 2.0 2.5XXXX! X! X! X! X!XXX X X XX! X! X! X! X!XXXXX3.0X!X!EMP method including exchangerates and interest rates1.5 1.645 1.75 2.0 2.5X X X XXXXXX X X X XX! X! X! X! X!X! X! X! X! X!X! X! X! X! X!3.0XX!X!EMP method including reserves only1.5 1.645 1.75 2.0 2.5 3.0XXXXXX X X XX X X X X XX! X! X! X! X!X X X X X XX X X X X XKnedlik 217
Page 1 and 2: Signaling currency crises in South
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Page 8 and 9: SARB Conference 2006Figure 5: EMP
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Page 12 and 13: SARB Conference 2006interaction bet
Page 14 and 15: SARB Conference 2006are not applica
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