This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Currency Crises, Sunspots and Markov-Switching Regimes

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Jeanne, Olivier
Masson, Paul R

Additional information is available for the following registered author(s):

Abstract

This paper investigates the theoretical properties of a class of 'second generation' models of currency crises as well as their applicability to empirical work. We show that under some conditions these models give rise to an arbitrarily large number of equilibria, as well as cyclic or chaotic dynamics for the devaluation expectations. We then propose an econometric technique, based on the Markov-switching regimes framework, by which these models can be brought to the data. We illustrate this empirical approach by studying the experience of the French franc between 1987 and 1993, and find that the model performs significantly better when it allows the devaluation expectations to be influenced by sunspots.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.cepr.org/pubs/dps/DP1990.asp
File Format: application/pdf
File Function:
Download Restriction: CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 1990.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length:
Date of creation: Oct 1998
Date of revision:
Handle: RePEc:cpr:ceprdp:1990

Contact details of provider:
Postal: Centre for Economic Policy Research, 53--56 Great Sutton Street, London EC1V 0DG
Phone: 44 - 20 - 7183 8801
Fax: 44 - 20 - 7183 8820

Order Information:
Email:

For technical questions regarding this item, or to correct its listing, contact: ().

Related research
Keywords: Currency Crises European Monetary System French franc Markov-switching regimes Self-Fulfilling Speculation Sunspots

Other versions of this item:

Find related papers by JEL classification:
F3 - International Economics - - International Finance
F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Hens, Thorsten & Mayer, Janós & Pilgrim, Beate, 2004. "Existence of Sunspot Equilibria and Uniqueness of Spot Market Equilibria: The Case of Intrinsically Complete Markets," Discussion Papers 2004/15, Department of Finance and Management Science, Norwegian School of Economics and Business Administration. [Downloadable!]
  2. Thorsten Hens & Beate Pilgrim, . "Subsidizing Charitable Giving in a Field Experiment," IEW - Working Papers iewwp070, Institute for Empirical Research in Economics - IEW. [Downloadable!]
  3. Kristina Kittelmann & Marcel Tirpak & Rainer Schweickert & Lúcio Vinhas de Souza, 2006. "From Transition Crises to Macroeconomic Stability? Lessons from a Crises Early Warning System for Eastern European and CIS Countries," Kiel Working Papers 1269, Kiel Institute for the World Economy. [Downloadable!]
  4. Virginie Boinet & Oreste Napolitano & Nicola Spagnolo, 2002. "Are currency crises self-fulfilling? the case of Argentina," Economics and Finance Discussion Papers 02-26, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
    Other versions:
  5. Shiu-Sheng Chen, 2003. "Revisiting the Interest Rate-Exchange Rate Nexus: A Markov Switching Approach," International Finance 0303002, EconWPA, revised 13 Mar 2003. [Downloadable!]
    Other versions:
  6. Simone Manganelli & Lorenzo Cappiello & Bruno Gerard, 2004. "The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles," Econometric Society 2004 Latin American Meetings 77, Econometric Society. [Downloadable!]
  7. Guglielmo Maria Caporale & Nicola Spagnolo, 2004. "Modelling East Asian exchange rates: a Markov-switching approach," Applied Financial Economics, Taylor and Francis Journals, vol. 14(4), pages 233-242, January. [Downloadable!] (restricted)
  8. Muhd-Zulkhibri Abdul Majid, 2004. "Sources Of Asian Currency Crisis," International Finance 0405020, EconWPA. [Downloadable!]
  9. Marcel Fratzscher, 2003. "On currency crises and contagion," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 8(2), pages 109-129. [Downloadable!]
    Other versions:
  10. Demosthenes N. Tambakis, 2007. "Fear of Floating and Social Welfare," International Journal of Central Banking, International Journal of Central Banking, vol. 3(3), pages 183-204, September. [Downloadable!]
    Other versions:
  11. Melisso Boschi & Aditya Goenka, 2006. "Habit formation and the transmission of financial crises," Economics Discussion Papers 608, University of Essex, Department of Economics. [Downloadable!]
  12. Massacci, D., 2007. "Identification and Estimation in an Incoherent Model of Contagion," Cambridge Working Papers in Economics 0744, Faculty of Economics, University of Cambridge. [Downloadable!]
  13. Celine Rochon, 2006. "Devaluation without common knowledge," OFRC Working Papers Series 2006fe03, Oxford Financial Research Centre. [Downloadable!]
  14. Arias, Guillaume & Erlandsson, Ulf, 2004. "Regime switching as an alternative early warning system of currency crises - an application to South-East Asia," Working Papers 2004:11, Lund University, Department of Economics. [Downloadable!]
  15. Giancarlo Corsetti & Marcello Pericoli & Massimo Sbracia, 2001. "Correlation Analysis of Financial Contagion: What One Should Know before Running a Test," Temi di discussione (Economic working papers) 408, Bank of Italy, Economic Research Department. [Downloadable!]
    Other versions:
  16. Patricia Alvarez-Plata & Mechthild Schrooten, 2003. "The Argentinean Currency Crisis : A Markov-Switching Model Estimation," Discussion Papers of DIW Berlin 348, DIW Berlin, German Institute for Economic Research. [Downloadable!]
    Other versions:
  17. Celine Rochon & Andrew Feltenstein, 2006. "Can Good Events Lead to Bad Outcomes? Endogenous Banking Crises and Fiscal Policy Responses," IMF Working Papers 06/263, International Monetary Fund. [Downloadable!]
    Other versions:
  18. Philip Arestis & Kostas Mouratidis, 2003. "Credibility of Monetary Policy in Four Accession Countries: A Markov Regime-Switching Approach," Economics Working Paper Archive 371, Levy Economics Institute, The. [Downloadable!]
    Other versions:
  19. Marcelo Sánchez, 2005. "The link between interest rates and exchange rates - do contractionary depreciations make a difference?," Working Paper Series 548, European Central Bank. [Downloadable!]
  20. M. Sbracia & Alessandro Prati, 2002. "Currency Crises and Uncertainty About Fundamentals," IMF Working Papers 02/3, International Monetary Fund. [Downloadable!]
    Other versions:
  21. Roman Kraeussl, 2003. "Do Changes in Sovereign Credit Ratings Contribute to Financial Contagion in Emerging Market Crises?," CFS Working Paper Series 2003/22, Center for Financial Studies. [Downloadable!]
    Other versions:
Statistics
Access and download statistics

Did you know? Authors can create their own profile with links to their works on the RePEc Author Service.

This page was last updated on 2008-8-19.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.