A Comparison of Currency Crisis Dating Methods: Turkey 1990-2014

Abstract

This paper aims to assess the robustness of currency crisis dating methods. Hence, we reproduce a broad set of the ten most representative indicators from the literature, and develop two new crisis indicators derived from Cointegration and ARDL Bounds tests for the Turkish economy which underwent several currency crises over the last 30 years. Contrary to early studies (Edison, 2003; Perez, 2005; Lestano and Jacobs, 2007), we indicate that different crisis indicators produce similar results, at the same threshold level, in identifying the Turkish currency crises of post-liberalization period.