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A Model Forecasting Risk for Emerging Market Currencies

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Listed author(s):
  • Masahiro Fukuhara

    ()

  • Yasufumi Saruwatari

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s10690-008-9065-1
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    Article provided by Springer & Japanese Association of Financial Economics and Engineering in its journal Asia-Pacific Financial Markets.

    Volume (Year): 14 (2007)
    Issue (Month): 4 (December)
    Pages: 325-340

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    Handle: RePEc:kap:apfinm:v:14:y:2007:i:4:p:325-340
    DOI: 10.1007/s10690-008-9065-1
    Contact details of provider: Web page: http://www.springer.com

    Web page: http://www.jafee.gr.jp/

    Order Information: Web: http://www.springer.com/finance/journal/10690/PS2

    Keywords: Risk forecast model; Markov regime switch; Emerging market currency; Equity market information;

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    1. Graciela Kaminsky & Saul Lizondo & Carmen M. Reinhart, 1998. "Leading Indicators of Currency Crises," IMF Staff Papers, Palgrave Macmillan, vol. 45(1), pages 1-48, March.
    2. Harvey, Campbell R, 1995. "Predictable Risk and Returns in Emerging Markets," Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 773-816.
    3. Christiano, Lawrence J. & Ljungqvist, Lars, 1988. "Money does Granger-cause output in the bivariate money-output relation," Journal of Monetary Economics, Elsevier, vol. 22(2), pages 217-235, September.
    4. Corsetti, Giancarlo & Pesenti, Paolo & Roubini, Nouriel, 1999. "What caused the Asian currency and financial crisis?," Japan and the World Economy, Elsevier, vol. 11(3), pages 305-373, October.
    5. Engel, Charles & Hamilton, James D, 1990. "Long Swings in the Dollar: Are They in the Data and Do Markets Know It?," American Economic Review, American Economic Association, vol. 80(4), pages 689-713, September.
    6. Abdul Abiad, 2003. "Early Warning Systems; A Survey and a Regime-Switching Approach," IMF Working Papers 03/32, International Monetary Fund.
    7. Francis X. Diebold & Jose A. Lopez, 1995. "Forecast evaluation and combination," Research Paper 9525, Federal Reserve Bank of New York.
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    Cited by:

    1. Da Huo, 2013. "Cluster Analysis of Market Potential in Emerging Markets: A Dynamic Research based on Markov Chain," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 218-231, December.

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