Get the Currency Crisis dummy for a variety of countries over time from the Global Macro Database (GMDB). Unlike the other indicators in this module, this is a binary (0 = no crisis, 1 = crisis) Reinhart & Rogoff style crisis-dating series rather than a continuous economic series: a value of 1 marks a year in which a country was undergoing a currency crisis (e.g. a sharp, disorderly depreciation or collapse of the exchange rate), and 0 marks a year in which it was not.

The crisis dating stops well short of the present – the series currently ends in 2017 – so recent years are NaN rather than 0.

Data comes from the Global Macro Database (GMDB), further information about the variable can be found within https://www.globalmacrodata.com/documentation.html

Also known as: currency collapse, exchange rate crisis dummy.

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Calculate the Currency Crisis in Python

The Currency Crisis is available in the Economics module of the open-source Finance Toolkit. Install it with:

pip install financetoolkit -U

Then call get_currency_crisis as shown below.

from financetoolkit import Economics

economics = Economics(start_date='1990-01-01')

economics.get_currency_crisis(countries='Turkey')

Which returns:

  Turkey
2015 0
2016 0
2017 0
2018 nan
2019 nan

Parameters

get_currency_crisis accepts the following parameters:

  • countries (list[str] | str | None, optional): A list of countries or a single country to include in the results. Defaults to None.
  • rolling (int, optional): The rolling window size to use for smoothing the data (simple moving average). Defaults to None.
  • trailing (int, optional): The trailing window size to use for summing the data over trailing periods (e.g. a trailing-4-quarter sum). Defaults to None.
  • rounding (int | None, optional): The number of decimals to round the results to. Defaults to None.
Banking Crisis Sovereign Debt Crisis

The Economics module page introduces the module, and the sidebar lists all of its functions.

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