What Caused the 1991 Currency Crisis in India? [electronic resource] / Sweta Chaman Saxena.
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TextSeries: IMF Working Papers; Working Paper ; No. 00/157Publication details: Washington, D.C. : International Monetary Fund, 2000Description: 1 online resource (27 p.)ISBN: 1451857489 :ISSN: 1018-5941Subject(s): Currency Crisis | Current Account Deficits | Current Account | Equilibrium Exchange Rate | Error Correction Model | Exchange Rate | IndiaAdditional physical formats: Print Version:: What Caused the 1991 Currency Crisis in India?Online resources: IMF e-Library | IMF Book Store Abstract: Did real overvaluation contribute to the 1991 currency crisis in India? This paper seeks an answer by constructing the equilibrium real exchange rate, using an error correction model and a technique developed by Gonzalo and Granger (1995). The results are affirmative and the evidence indicates that current account deficits and investor confidence also played significant roles in the sharp exchange rate depreciation. The ECM model is supported by superior out-of-sample forecast performance versus a random walk model.
Did real overvaluation contribute to the 1991 currency crisis in India? This paper seeks an answer by constructing the equilibrium real exchange rate, using an error correction model and a technique developed by Gonzalo and Granger (1995). The results are affirmative and the evidence indicates that current account deficits and investor confidence also played significant roles in the sharp exchange rate depreciation. The ECM model is supported by superior out-of-sample forecast performance versus a random walk model.
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