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How Homogenous are Currency Crises? A Panel Study Using Multiple-Response Models

  • Tassos G. Anastasatos

    ()

    (Bank of Greece and Business School, University of Loughborough)

  • Ian R. Davidson

    (Business School, University of Loughborough)

Registered author(s):

    This paper presents evidence that currency episodes display heterogeneity in terms of their evolution, their impact on the inflicted economy and their links with financial, political and macroeconomic fundamentals. Limited-dependent variable models for ordered and unordered outcomes along with their heteroskedastic and random effects extensions are applied to a large panel of data comprising 40 years of monthly observations on 23 developed countries. Heterogeneity, complemented by indications of self-fulfilling expectations and noise, suggest that time and region specific predictive approaches and policy responses are more useful than trying to base analysis and policy decisions on more general patterns. Results are established with formal specification tests.

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    File URL: http://www.bankofgreece.gr/BogEkdoseis/Paper200652.pdf
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    Paper provided by Bank of Greece in its series Working Papers with number 52.

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    Length: 44 pages
    Date of creation: Dec 2006
    Date of revision:
    Handle: RePEc:bog:wpaper:52
    Contact details of provider: Web page: http://www.bankofgreece.gr

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