A Regime Switching Approach To Studying Speculative Attacks
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Author | : Maria Soledad Martinez Peria |
Publisher | : |
Total Pages | : 54 |
Release | : 2016 |
Genre | : |
ISBN | : |
Download A Regime-Switching Approach to Studying Speculative Attacks Book in PDF, Epub and Kindle
A regime-switching framework is used to study speculative attacks against European Monetary System currencies during 1979-93.Peria uses a regime-switching framework to study speculative attacks against European Monetary System (EMS) currencies during 1979-93.She identifies speculative attacks by modeling exchange rates, reserves, and interest rates as time series subject to discrete regime shifts. She assumes two states: tranquil and speculative.She models the probabilities of switching between states as a function of fundamentals and expectations. She concludes that:- The switching models with time-varying transition probabilities capture most of the conventional episodes of speculative attacks.- Speculative attacks do not always coincide with currency realignments.- Both economic fundamentals and expectations determine the likelihood of switching from a period of tranquility to a speculative attack. The budget deficit appears to be an especially important factor driving the probability of switching to a speculative regime.Given the importance of anticipating and, wherever possible, avoiding crises, it might be useful to conduct forecasting exercises to determine whether the switching framework proposed here can be used to forecast crises in countries outside the sample.Because currency crises tend to occur simultaneously in two or more countries, it also might be useful to adapt the regime-switching framework to explore the role of contagion in explaining crises.This paper - a product of Finance, Development Research Group - is part of a larger effort in the group to understand currency crises. The author may be contacted at [email protected].
Author | : Maria Soledad Martinez Peria |
Publisher | : |
Total Pages | : 60 |
Release | : 1999 |
Genre | : EMS |
ISBN | : |
Download A Regime Switching Approach to Studying Speculative Attacks Book in PDF, Epub and Kindle
Author | : James D. Hamilton |
Publisher | : Springer Science & Business Media |
Total Pages | : 267 |
Release | : 2013-06-29 |
Genre | : Business & Economics |
ISBN | : 3642511821 |
Download Advances in Markov-Switching Models Book in PDF, Epub and Kindle
This book is a collection of state-of-the-art papers on the properties of business cycles and financial analysis. The individual contributions cover new advances in Markov-switching models with applications to business cycle research and finance. The introduction surveys the existing methods and new results of the last decade. Individual chapters study features of the U. S. and European business cycles with particular focus on the role of monetary policy, oil shocks and co movements among key variables. The short-run versus long-run consequences of an economic recession are also discussed. Another area that is featured is an extensive analysis of currency crises and the possibility of bubbles or fads in stock prices. A concluding chapter offers useful new results on testing for this kind of regime-switching behaviour. Overall, the book provides a state-of-the-art over view of new directions in methods and results for estimation and inference based on the use of Markov-switching time-series analysis. A special feature of the book is that it includes an illustration of a wide range of applications based on a common methodology. It is expected that the theme of the book will be of particular interest to the macroeconomics readers as well as econometrics professionals, scholars and graduate students. We wish to express our gratitude to the authors for their strong contributions and the reviewers for their assistance and careful attention to detail in their reports.
Author | : Robert P. Flood |
Publisher | : MIT Press |
Total Pages | : 528 |
Release | : 1994 |
Genre | : Business & Economics |
ISBN | : 9780262061698 |
Download Speculative Bubbles, Speculative Attacks, and Policy Switching Book in PDF, Epub and Kindle
The papers in this book are grouped into three sections: the first on price bubbles is primarily financial; the second on speculative attacks (on exchange rate regimes) is international in scope; and the third, on policy switching, is concerned with monetary policy.
Author | : Steven Durlauf |
Publisher | : Springer |
Total Pages | : 417 |
Release | : 2016-04-30 |
Genre | : Business & Economics |
ISBN | : 0230280838 |
Download Macroeconometrics and Time Series Analysis Book in PDF, Epub and Kindle
Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.
Author | : Mr.Abdul Abiad |
Publisher | : International Monetary Fund |
Total Pages | : 61 |
Release | : 2003-02-01 |
Genre | : Business & Economics |
ISBN | : 1451845138 |
Download Early Warning Systems Book in PDF, Epub and Kindle
Previous early-warning systems (EWSs) for currency crises have relied on models that require a priori dating of crises. This paper proposes an alternative EWS, based on a Markov-switching model, which identifies and characterizes crisis periods endogenously; this also allows the model to utilize information contained in exchange rate dynamics. The model is estimated using data for the period 1972-99 for the Asian crisis countries, taking a country-by-country approach. The model outperforms standard EWSs, both in signaling crises and reducing false alarms. Two lessons emerge. First, accounting for the dynamics of exchange rates is important. Second, different indicators matter for different countries, suggesting that the assumption of parameter constancy underlying panel estimates of EWSs may contribute to poor performance.
Author | : Ms.Inci Ötker |
Publisher | : International Monetary Fund |
Total Pages | : 38 |
Release | : 1995-11-01 |
Genre | : Business & Economics |
ISBN | : 1451853548 |
Download Speculative Attacks and Currency Crises Book in PDF, Epub and Kindle
This paper estimates a speculative attack model of currency crises in order to identify the role of economic fundamentals and any early warning signals of a potential currency crisis. The data from the Mexican economy was used to illustrate the model. Based on the results, a deterioration in fundamentals appears to have generated high one-step-ahead probabilities for the regime changes during the sample period 1982-1994. Particularly, increases in inflation differentials, appreciations of the real exchange rate, foreign reserve losses, expansionary monetary and fiscal policies, and increases in the share of short-term foreign currency debt appear to have contributed to the market pressures and regime changes in that period.
Author | : Maria Soledad Martinez Peria |
Publisher | : |
Total Pages | : 396 |
Release | : 1998 |
Genre | : |
ISBN | : |
Download Essays on the Determinants of Speculative Attacks and the Market Responsiveness to Banks' Risk Taking Book in PDF, Epub and Kindle
Author | : Przemyslaw Dymarski |
Publisher | : BoD – Books on Demand |
Total Pages | : 329 |
Release | : 2011-04-19 |
Genre | : Computers |
ISBN | : 9533072083 |
Download Hidden Markov Models Book in PDF, Epub and Kindle
Hidden Markov Models (HMMs), although known for decades, have made a big career nowadays and are still in state of development. This book presents theoretical issues and a variety of HMMs applications in speech recognition and synthesis, medicine, neurosciences, computational biology, bioinformatics, seismology, environment protection and engineering. I hope that the reader will find this book useful and helpful for their own research.
Author | : Rogemar S. Mamon |
Publisher | : Springer Science & Business Media |
Total Pages | : 203 |
Release | : 2007-04-26 |
Genre | : Business & Economics |
ISBN | : 0387711635 |
Download Hidden Markov Models in Finance Book in PDF, Epub and Kindle
A number of methodologies have been employed to provide decision making solutions globalized markets. Hidden Markov Models in Finance offers the first systematic application of these methods to specialized financial problems: option pricing, credit risk modeling, volatility estimation and more. The book provides tools for sorting through turbulence, volatility, emotion, chaotic events – the random "noise" of financial markets – to analyze core components.