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On crisis models: An alternative crisis definition

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  • Eliasson, Ann-Charlotte
  • Kreuter, Christof
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    Abstract

    In this paper we question the consensus of using a binary crisis definition for empirical crisis models. We believe that the most severe shortcomings of the crisis models today are in the crisis definition rather than the explanatory variables. We present a crisis model that is specified for a continuous crisis definition especially designed to describe extreme exchange-rate and interest-rate events in emerging markets. The crisis variable successfully portrays the crises of the 1990s and the estimated models perform excellently in explaining these events. --

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    Bibliographic Info

    Paper provided by Deutsche Bank Research in its series Research Notes with number 01-1.

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    Date of creation: 2001
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    Handle: RePEc:zbw:dbrrns:011

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    Related research

    Keywords: Financial crises; risk model; panel data; emerging markets;

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    Cited by:
    1. Mete Feridun, 2006. "ISE and Exchange Market Pressure," Discussion Paper Series 2006_22, Department of Economics, Loughborough University, revised Dec 2006.
    2. Mete Feridun, 2006. "Impact of Liquidity on Speculative Pressure in the Exchange Market," Discussion Paper Series 2006_24, Department of Economics, Loughborough University, revised Dec 2006.
    3. 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.
    4. Mete Feridun, 2006. "How Far Can Domestic Credit Growth Explain Speculative Attacks? Empirical Evidence from Turkey," Discussion Paper Series 2006_23, Department of Economics, Loughborough University, revised Dec 2006.

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