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A Model Forecasting Risk for Emerging Market Currencies

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  • 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 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
    Contact details of provider: Web page: http://springerlink.metapress.com/link.asp?id=102851

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

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    1. Abdul Abiad, 2003. "Early Warning Systems; A Survey and a Regime-Switching Approach," IMF Working Papers 03/32, International Monetary Fund.
    2. Corsetti, G. & Pesenti, P. & Roubini, N., 1998. "What Caused the Asian Currency and Financial Crisis?," Papers 343, Banca Italia - Servizio di Studi.
    3. 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.
    4. Francis X. Diebold & Jose A. Lopez, 1995. "Forecast evaluation and combination," Research Paper 9525, Federal Reserve Bank of New York.
    5. Graciela Laura Kaminsky, 1997. "Leading Indicators of Currency Crises," IMF Working Papers 97/79, International Monetary Fund.
    6. Campbell R. Harvey, 1994. "Predictable Risk and Returns in Emerging Markets," NBER Working Papers 4621, National Bureau of Economic Research, Inc.
    7. 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.
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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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