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Reassessment Of Currency Index By Fundamentals

Author

Listed:
  • Hiroya Akiba

    (School of Political Science & Economics, Waseda University)

  • Yonghui Jia

    (Graduate School of Economics, Waseda University)

Abstract

We examine empirical consistency of the fundamentals in (1) the Middle and South American and (2) the Asian currency crises with the first-generation model, using panel data. We also evaluate our model by forecasting, and examine the differences between the two currency crises in terms of fundamentals. Some differences in explanatory power between fundamentals suggest that we should consider other factors in addition to our fundamentals. Dividing data into the two countries groups manifests that the causes were slightly different. The in-sample and out-of-sample tests indicate that our model could better predict the Middle and South American currency crisis.

Suggested Citation

  • Hiroya Akiba & Yonghui Jia, 2007. "Reassessment Of Currency Index By Fundamentals," Annals of Economics and Finance, Society for AEF, vol. 8(1), pages 65-93, May.
  • Handle: RePEc:cuf:journl:y:2007:v:8:i:1:p:65-93
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Currency crisis; Fundamentals; Panel data;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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