Currency Crises in the Post-Bretton Woods Era: A New Dataset of Large Depreciations by Alexander Culiuc and Hyunmin Park published by IMF (10/2025).
We introduce a novel dataset of large depreciations worldwide since 1971. First, we use a multistep 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.
