Macroeconomic Currency Crisis Early Warning Indicators in Emerging Countries

Siriki Coulibaly; Aya Marouane

doi:doi:10.11648/j.jbed.20240902.11

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Macroeconomic Currency Crisis Early Warning Indicators in Emerging Countries

Siriki Coulibaly^*

, Aya Marouane

Published in Journal of Business and Economic Development (Volume 9, Issue 2)

Received: 21 March 2024 Accepted: 8 April 2024 Published: 10 May 2024

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Abstract

This study investigates the relationships between exchange rate and the main macroeconomic variables as GDP, inflation and unemployment on one hand and the ability of these variables in alerting about coming exchange rate crisis in emerging countries. The three variables have significant coefficients with exchange rate in line with literature signs except unemployment rate. The study uses signal approach, dealing specifically with the main macroeconomic variables, selected by system GMM method in emerging markets. The study develops macroeconomic pressure indices from these selected macroeconomic variables using the market pressure index methodology from Early Warning System literature. Based on the macroeconomic variables, a combined macroeconomic pressure index has been built. The results of the non-parametric early warning system indicate that the individual macroeconomic pressure indexes created are good warning tools of a currency crisis. The macroeconomic pressure indexes are better early warning indicators than market pressure index built from international reserves, in emerging countries for four quarters warning period window. Production pressure index appears more accurate followed by inflation but unemployment pressure index is the most sensitive. However, the number of effective indicators and the accuracy of the indexes are not the same for all the countries, changing from a country to another.

Published in	Journal of Business and Economic Development (Volume 9, Issue 2)
DOI	10.11648/j.jbed.20240902.11
Page(s)	21-34
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2024. Published by Science Publishing Group

Keywords

Exchange Rate, Crisis, Macroeconomics, Warning System

References

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APA Style

Coulibaly, S., Marouane, A. (2024). Macroeconomic Currency Crisis Early Warning Indicators in Emerging Countries. Journal of Business and Economic Development, 9(2), 21-34. https://doi.org/10.11648/j.jbed.20240902.11

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ACS Style

Coulibaly, S.; Marouane, A. Macroeconomic Currency Crisis Early Warning Indicators in Emerging Countries. J. Bus. Econ. Dev. 2024, 9(2), 21-34. doi: 10.11648/j.jbed.20240902.11

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AMA Style

Coulibaly S, Marouane A. Macroeconomic Currency Crisis Early Warning Indicators in Emerging Countries. J Bus Econ Dev. 2024;9(2):21-34. doi: 10.11648/j.jbed.20240902.11

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@article{10.11648/j.jbed.20240902.11,
  author = {Siriki Coulibaly and Aya Marouane},
  title = {Macroeconomic Currency Crisis Early Warning Indicators in Emerging Countries
},
  journal = {Journal of Business and Economic Development},
  volume = {9},
  number = {2},
  pages = {21-34},
  doi = {10.11648/j.jbed.20240902.11},
  url = {https://doi.org/10.11648/j.jbed.20240902.11},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.jbed.20240902.11},
  abstract = {This study investigates the relationships between exchange rate and the main macroeconomic variables as GDP, inflation and unemployment on one hand and the ability of these variables in alerting about coming exchange rate crisis in emerging countries. The three variables have significant coefficients with exchange rate in line with literature signs except unemployment rate. The study uses signal approach, dealing specifically with the main macroeconomic variables, selected by system GMM method in emerging markets. The study develops macroeconomic pressure indices from these selected macroeconomic variables using the market pressure index methodology from Early Warning System literature. Based on the macroeconomic variables, a combined macroeconomic pressure index has been built. The results of the non-parametric early warning system indicate that the individual macroeconomic pressure indexes created are good warning tools of a currency crisis. The macroeconomic pressure indexes are better early warning indicators than market pressure index built from international reserves, in emerging countries for four quarters warning period window. Production pressure index appears more accurate followed by inflation but unemployment pressure index is the most sensitive. However, the number of effective indicators and the accuracy of the indexes are not the same for all the countries, changing from a country to another.
},
 year = {2024}
}

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TY  - JOUR
T1  - Macroeconomic Currency Crisis Early Warning Indicators in Emerging Countries

AU  - Siriki Coulibaly
AU  - Aya Marouane
Y1  - 2024/05/10
PY  - 2024
N1  - https://doi.org/10.11648/j.jbed.20240902.11
DO  - 10.11648/j.jbed.20240902.11
T2  - Journal of Business and Economic Development
JF  - Journal of Business and Economic Development
JO  - Journal of Business and Economic Development
SP  - 21
EP  - 34
PB  - Science Publishing Group
SN  - 2637-3874
UR  - https://doi.org/10.11648/j.jbed.20240902.11
AB  - This study investigates the relationships between exchange rate and the main macroeconomic variables as GDP, inflation and unemployment on one hand and the ability of these variables in alerting about coming exchange rate crisis in emerging countries. The three variables have significant coefficients with exchange rate in line with literature signs except unemployment rate. The study uses signal approach, dealing specifically with the main macroeconomic variables, selected by system GMM method in emerging markets. The study develops macroeconomic pressure indices from these selected macroeconomic variables using the market pressure index methodology from Early Warning System literature. Based on the macroeconomic variables, a combined macroeconomic pressure index has been built. The results of the non-parametric early warning system indicate that the individual macroeconomic pressure indexes created are good warning tools of a currency crisis. The macroeconomic pressure indexes are better early warning indicators than market pressure index built from international reserves, in emerging countries for four quarters warning period window. Production pressure index appears more accurate followed by inflation but unemployment pressure index is the most sensitive. However, the number of effective indicators and the accuracy of the indexes are not the same for all the countries, changing from a country to another.

VL  - 9
IS  - 2
ER  -

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Author Information

Siriki Coulibaly

DEECAF (Economic Destination Africa), Rennes, France; Department of Economics, University Péléforo Gon Coulibaly, Korhogo, Ivory Coast; Research and Development (R&D), Quantylix, Tunis, Tunisia

Contact Email

http://orcid.org/0000-0001-5097-2703
Aya Marouane

Research and Development (R&D), Quantylix, Tunis, Tunisia

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Plain Text BibTeX RIS

APA Style

Coulibaly, S., Marouane, A. (2024). Macroeconomic Currency Crisis Early Warning Indicators in Emerging Countries. Journal of Business and Economic Development, 9(2), 21-34. https://doi.org/10.11648/j.jbed.20240902.11

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ACS Style

Coulibaly, S.; Marouane, A. Macroeconomic Currency Crisis Early Warning Indicators in Emerging Countries. J. Bus. Econ. Dev. 2024, 9(2), 21-34. doi: 10.11648/j.jbed.20240902.11

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AMA Style

Coulibaly S, Marouane A. Macroeconomic Currency Crisis Early Warning Indicators in Emerging Countries. J Bus Econ Dev. 2024;9(2):21-34. doi: 10.11648/j.jbed.20240902.11

Copy | Download

@article{10.11648/j.jbed.20240902.11,
  author = {Siriki Coulibaly and Aya Marouane},
  title = {Macroeconomic Currency Crisis Early Warning Indicators in Emerging Countries
},
  journal = {Journal of Business and Economic Development},
  volume = {9},
  number = {2},
  pages = {21-34},
  doi = {10.11648/j.jbed.20240902.11},
  url = {https://doi.org/10.11648/j.jbed.20240902.11},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.jbed.20240902.11},
  abstract = {This study investigates the relationships between exchange rate and the main macroeconomic variables as GDP, inflation and unemployment on one hand and the ability of these variables in alerting about coming exchange rate crisis in emerging countries. The three variables have significant coefficients with exchange rate in line with literature signs except unemployment rate. The study uses signal approach, dealing specifically with the main macroeconomic variables, selected by system GMM method in emerging markets. The study develops macroeconomic pressure indices from these selected macroeconomic variables using the market pressure index methodology from Early Warning System literature. Based on the macroeconomic variables, a combined macroeconomic pressure index has been built. The results of the non-parametric early warning system indicate that the individual macroeconomic pressure indexes created are good warning tools of a currency crisis. The macroeconomic pressure indexes are better early warning indicators than market pressure index built from international reserves, in emerging countries for four quarters warning period window. Production pressure index appears more accurate followed by inflation but unemployment pressure index is the most sensitive. However, the number of effective indicators and the accuracy of the indexes are not the same for all the countries, changing from a country to another.
},
 year = {2024}
}

Copy | Download

TY  - JOUR
T1  - Macroeconomic Currency Crisis Early Warning Indicators in Emerging Countries

AU  - Siriki Coulibaly
AU  - Aya Marouane
Y1  - 2024/05/10
PY  - 2024
N1  - https://doi.org/10.11648/j.jbed.20240902.11
DO  - 10.11648/j.jbed.20240902.11
T2  - Journal of Business and Economic Development
JF  - Journal of Business and Economic Development
JO  - Journal of Business and Economic Development
SP  - 21
EP  - 34
PB  - Science Publishing Group
SN  - 2637-3874
UR  - https://doi.org/10.11648/j.jbed.20240902.11
AB  - This study investigates the relationships between exchange rate and the main macroeconomic variables as GDP, inflation and unemployment on one hand and the ability of these variables in alerting about coming exchange rate crisis in emerging countries. The three variables have significant coefficients with exchange rate in line with literature signs except unemployment rate. The study uses signal approach, dealing specifically with the main macroeconomic variables, selected by system GMM method in emerging markets. The study develops macroeconomic pressure indices from these selected macroeconomic variables using the market pressure index methodology from Early Warning System literature. Based on the macroeconomic variables, a combined macroeconomic pressure index has been built. The results of the non-parametric early warning system indicate that the individual macroeconomic pressure indexes created are good warning tools of a currency crisis. The macroeconomic pressure indexes are better early warning indicators than market pressure index built from international reserves, in emerging countries for four quarters warning period window. Production pressure index appears more accurate followed by inflation but unemployment pressure index is the most sensitive. However, the number of effective indicators and the accuracy of the indexes are not the same for all the countries, changing from a country to another.

VL  - 9
IS  - 2
ER  -

Copy | Download