IMF Working Papers

Currency Crises in the Post-Bretton Woods Era: A New Dataset of Large Depreciations

By Alexander Culiuc, Hyunmin Park

October 31, 2025

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Alexander Culiuc, and Hyunmin Park. "Currency Crises in the Post-Bretton Woods Era: A New Dataset of Large Depreciations", IMF Working Papers 2025, 221 (2025), accessed November 1, 2025, https://doi.org/10.5089/9798229027793.001

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Disclaimer: 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.

Summary

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 month-level 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 and groups (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 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.

Subject: Currencies, Currency crises, Depreciation, Exchange rate flexibility, Exchange rates, Financial crises, Foreign exchange, Money, National accounts, Nominal effective exchange rate, Real effective exchange rates

Keywords: Crisis, Currencies, Currency crises, Depreciation, Equilibrium depreciation, Exchange rate, Exchange rate flexibility, Exchange rates, Inflation, Nominal effective exchange rate, Overshoooting, Real effective exchange rates, Real exchange rate

Publication Details

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