New methodological approaches to the construction of currency crashes models
The large financial crises in the last decade have increased the interest of many economists in searching for some indicators, which can predict speculative attacks on currencies. Most of these studies concern on emerging economies, because they are more vulnerable to such speculative attacks. This paper points out main methodological issues of two standard approaches to the construction of the early warning system - the signal approach and the regression probit or logit model approach. Based on avoiding these issues alternative approaches have been evolved. Three of them - two regimes model, VAR model and Markov-switching model - are described in the next part of this paper. The comparison of predictive power shows the importance of the construction of country specific early warning systems.
Volume (Year): 2004 (2004)
Issue (Month): 3 ()
|Contact details of provider:|| Postal: |
Phone: (02) 24 09 51 11
Fax: (02) 24 22 06 57
Web page: http://www.vse.cz/
More information through EDIRC
|Order Information:|| Postal: Redakce Politické ekonomie, Vysoká škola ekonomická, nám. W. Churchilla 4, 130 67 Praha 3|
Web: http://www.vse.cz/polek/ Email:
When requesting a correction, please mention this item's handle: RePEc:prg:jnlpol:v:2004:y:2004:i:3:id:466:p:375-388. See general 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: (Vaclav Subrta)
If references are entirely missing, you can add them using this form.