IMF-后布雷顿森林时代的货币危机：一个新的大幅贬值数据集（英）

Currency Crises in the Post-Bretton Woods Era A New Dataset of Large Depreciations Alexander Culiuc and Hyunmin Park WP/25/221 IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. 2025 OCT * The authors would like to thank Martin Čihák and Rishi Goyal for their support and encouragement and Anil Ari, Firmin Ayivodji,Jaime Guajardo, Mahmoud Harb, La-Bhus Fah Jirasavetakul, Emmanouil Kitsios, Robin Koepke, Andrea Manera, MarialuzMoreno Badia, Faezeh Raei, Belen Sbrancia, Ken Teoh, and participants of the IMF External Sector Seminar and SPRNL internalpresentation for their valuable comments and suggestions. Pragyan Deb contributed to early thinking on the subject, while DonalMcGettigan and Nathan Porter supported earlier related research. Helen Zheng provided excellent research assistance forextending the Klein and Shambaugh database on base country.© 2025 International Monetary Fund WP/25/221 IMF Working Paper Strategy, Policy, and Review Department Currency Crises in the Post-Bretton Woods Era: A New Dataset of Large Depreciations Prepared by Alexander Culiuc and Hyunmin Park* Authorized for distribution by Martin Čihák October 2025 IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. ABSTRACT: We introduce a novel dataset of large depreciations worldwide since 1971. First, we use a multi-step approach to accurately pinpoint large depreciation events on monthly data. We then construct large depreciation episodes that cover 24 months after the initial depreciation event. The monthly data allows for a granular characterization of the dynamics of large depreciations across multiple metrics, including maximum and equilibrium depreciations, overshooting, and number of depreciation events within a single episode. We then present stylized facts on episodes across various characteristics (income, REER trajectory, number of events, exchange rate flexibility, and IMF-supported program status). Among these: (i) a few months into an episode, REER tends to appreciate unless there is an “aftershock” depreciation, (ii) attempts to peg following the initial depreciation event are associated with a higher likelihood of “aftershocks”, and (iii) equilibrium REER depreciations are largest when an IMF-supported program is put in place after the initial depreciation takes place. The Large Depreciations Dataset is available at culiuc.com/LargeDepreciations. RECOMMENDED CITATION: Culiuc, A. and Park, H., 2025. Currency Crises in the Post-Bretton Woods Era: A New Dataset of Large Depreciations. IMF Work