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Nové metodologické přístupy k tvorbě empirických modelů měnových krizí
[New methodological approaches to the construction of currency crashes models]

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  • Michal Pazour

Abstract

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.

Suggested Citation

  • Michal Pazour, 2004. "Nové metodologické přístupy k tvorbě empirických modelů měnových krizí
    [New methodological approaches to the construction of currency crashes models]
    ," Politická ekonomie, University of Economics, Prague, vol. 2004(3), pages 375-388.
  • Handle: RePEc:prg:jnlpol:v:2004:y:2004:i:3:id:466:p:375-388
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    References listed on IDEAS

    as
    1. Alchian, Armen A. & Demsetz, Harold, 1973. "The Property Right Paradigm," The Journal of Economic History, Cambridge University Press, vol. 33(01), pages 16-27, March.
    2. Krueger, Anne O, 1974. "The Political Economy of the Rent-Seeking Society," American Economic Review, American Economic Association, pages 291-303.
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    More about this item

    Keywords

    econometric model; currency crises; early warning;

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications

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