Data for currency crises

Question

Dear StackExchange users,

I am currently studying currency crises and for that I need data from 1980-2018. I have used data from IMF, OECD, BIS, WORLD BANK, etc., but I still have some missing data especially for Real effective exchange rate (REER), Reserves, discount rate for countries such as: Argentina, Peru, Thailand, Australia, Georgia, Ukraine, Russia, Indonesia, Korea, etc.

Does anyone know any good online source or any database from well-known papers where I can find this kind of data.

P.S. I also need some data and any idea how to calculate financial contagion. A dataset and do file would be really helpful for that.

Thanks in Advance, Arbnor Gashi

Answer 1

I would begin my search by finding related papers in the Journal of Applied Econometrics that contains currency as a key word.

After a related paper is identified, I would to go to the data archive URL: http://qed.econ.queensu.ca/jae/ to see if the data in the paper were uploaded there.

Two papers I found that are related to financial contagion (and possibly leading to a relevant data set for your study):

• Eichengreen, B., Rose, A.K. and Wyplosz, C., 1996. Contagious currency crises (No. w5681). National Bureau of Economic Research.

• Dungey, M. and Renault, E., 2018. Identifying contagion. Journal of Applied Econometrics, 33(2), pp.227-250.

You can also use the references therein to find more related papers. I hope it helps so far.

P.S. If your school has a subscription to Bloomberg Terminal, I believe those currency data can be found in the Terminal.