Currency Crises, Sunspots and Markov-switching Regimes PDF Download
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Author: Olivier Jeanne
Publisher:
ISBN:
Category : Financial crises
Languages : en
Pages : 48
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Book Description
Author: Olivier Jeanne
Publisher:
ISBN:
Category : Financial crises
Languages : en
Pages : 48
Get Book Here
Book Description
Author: Olivier Jeanne
Publisher:
ISBN:
Category :
Languages : en
Pages : 30
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Book Description
Author: Kostas Mouratidis
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
This paper provides an empirical framework to analyse the nature of currency crises by extending earlier work of Jeanne and Masson (2000; Journal of International Economics, Vol. 50, pp. 327-350). Jeanne and Masson suggest a Markov regime switching models to analyse models of currency crises with multiple equilibria. This paper further contributes to the literature by suggesting a multivariate Markov regime switching model. In the new set-up, one can test for the impact of the unobserved dynamics of fundamentals on the probability of devaluation.
Author:
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Category :
Languages : en
Pages :
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Author: Maria Araceli Rodriguez Lopez
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Roberto S. Mariano
Publisher:
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Category :
Languages : en
Pages : 0
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Book Description
A Markov regime switching model for exchange rate fluctuations, with time-varying transition probabilities, is used in constructing a monthly model for predicting currency crises in Southeast Asia. The approach is designed to avoid the estimation inconsistency that might arise from misclassification errors in the construction of crisis dummy variables which other approaches (such as probit/logit and signaling) require. Our methodology also addresses the serial correlations and sudden behavior inherent in crisis occurrence, identifies a set of reliable and observable indicators of impending crisis difficulties, delivers forecast probabilities of future crises over multi-period forecasting horizons, and offers an empirical framework for analyzing contagion effects of a crisis. Our empirical results indicate that the Markov switching model is moderately successful at predicting crisis episodes, but also points to future research in various directions. Most early warning systems for currency crises have used either probit or signaling. Several issues can be raised regarding these techniques: the need for a priori dating of crisis occurrence, the use of arbitrary thresholds, inadequate modeling of the dynamics in the system, among others. We present an alternative framework, based on a Markov-switching model of exchange rate fluctuations with time-varying transition probabilities, which addresses these concerns.
Author: James D. Hamilton
Publisher: Physica
ISBN: 9783642511844
Category : Business & Economics
Languages : en
Pages : 267
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Book Description
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: Gregorio A. Vargas (III.)
Publisher:
ISBN:
Category : Currency crises
Languages : en
Pages : 0
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Book Description
"Markov switching models with time-varying transition probabilities address the limitations of the earlier methods in the early warning system literature on currency crises. Most of the Markov switching models in the literature are largely based on univariate models of exchange rate fluctuations. In this thesis, the components of the index of speculative pressure are modeled using the Markov Switching VAR with time-varying transition probabilities of Martinez Peria (2002). Two approaches, both of which are derived from this model, are taken to determine the probability of a currency crisis: the probability of a turbulent regime and the expected value of the index of speculative pressure. This study shows that the Markov Switching VAR model with time-varying transition probabilities is a good method to use in building an early warning system of a currency crisis. Results show significant improvement on predicting the Asian Financial Crisis by signaling its occurrence at an earlier period with a higher probability when the probability of a turbulent regime approach is employed. It is also more sensitive in detecting turbulent periods that are not necessarily currency crises and therefore renders itself useful in short-term forecasting of speculative pressure episodes. The leading indicators of the Asian Financial Crisis identified in this study are real effective exchange rate, export growth, GDP growth, real domestic credit, M2 ratio, deposits to M2 ratio and non-FDI flows."--Author's abstract.
Author:
Publisher:
ISBN:
Category : Financial crises
Languages : en
Pages : 48
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Book Description
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Markov switching models with time-varying transition probabilities address the limitations of the earlier methods in the early warning system literature on currency crises. Most of the Markov switching models in the literature are largely based on univariate models of exchange rate fluctuations. In this thesis, the components of the index of speculative pressure are modeled using the Markov Switching VAR with time-varying transition probabilities of Martinez Peria (2002). Two approaches, both of which are derived from this model, are taken to determine the probability of a currency crisis: the probability of a turbulent regime and the expected value of the index of speculative pressure. This study shows that the Markov Switching VAR model with time-varying transition probabilities is a good method to use in building an early warning system of a currency crisis. Results show significant improvement on predicting the Asian Financial Crisis by signaling its occurrence at an earlier period with a higher probability when the probability of a turbulent regime approach is employed. It is also more sensitive in detecting turbulent periods that are not necessarily currency crises and therefore renders itself useful in short-term forecasting of speculative pressure episodes. The leading indicators of the Asian Financial Crisis identified in this study are real effective exchange rate, export growth, GDP growth, real domestic credit, M2 ratio, deposits to M2 ratio and non-FDI flows.
