New publication by CMMU faculty member in SJR Q1 journal

Research on predicting currency crises by Assoc. Prof. Dr. Roy Kouwenberg and Assoc. Prof. Dr. Phornchanok Cumperayot (Chulalongkorn University) has been accepted for publication in the Journal of International Money and Finance. Currency crises are often preceded by a wide range of economic problems, such as high debt, declining international reserves, or balance of payments problems. Applying multivariate extreme value theory, this research tests whether currency crises can be predicted using macro-economic and financial variables. The key findings are that nearly all fundamental variables have no relation with extreme exchange rate returns, except for the real interest rate. The findings may help explain why existing early warning systems for currency crises perform poorly out of sample.

This research was supported by an international research grant from the Global Association of Risk Professionals. The Journal of International Money and Finance is a high quality scholarly journal in the field of international finance, published by Elsevier. The journal is listed in the ISI-SSCI and Scopus databases; it is ranked in the 1st quartile (Q1) of the Scimago journal ranking, and had a SSCI impact factor of 1.02 in 2011. For more info about this journal, please visit http://www.journals.elsevier.com/journal-of-international-money-and-finance/