Identifying Currency Crisis Using Treshold Autoregressions: Australia and the East Asian "Meltdown"
AbstractA two regime threshold autogressive model is fitted to a trade weighted index of the Australian real exchange rate in order to identify episodes of exchange rate crisis. We find strong evidence of a threshold in the growth rate of the real exchange reate, with the data being classified into two regimes. The first regime is consistent with an exchange rate crisis. There is no evidence to suggest that the recent Asian meltdown has led to the real exchange rate entering the crisis regime.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by The University of Melbourne in its series Department of Economics - Working Papers Series with number 655.
Length: 18 pages
Date of creation: 1998
Date of revision:
Contact details of provider:
Postal: Department of Economics, The University of Melbourne, 5th Floor, Economics and Commerce Building, Victoria, 3010, Australia
Phone: +61 3 8344 5289
Fax: +61 3 8344 6899
Web page: http://www.economics.unimelb.edu.au
More information through EDIRC
EXCHANGE RATE ; UNIT ROOTS;
Find related papers by JEL classification:
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- F31 - International Economics - - International Finance - - - Foreign Exchange
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marisa Cerantola).
If references are entirely missing, you can add them using this form.