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An Empirical Characterisation of Speculative Pressure: A Comprehensive Panel Study Using LDV Models in High Frequency

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    This article provides a general and robust empirical examination of speculative pressure on various exchange rate regimes using an unusually large panel of monthly data for developed countries, analyzed within the framework of Limited-Dependent Variable (LDV) models with various innovations and extensions. In comparison to studies with lower frequency data, significant differences are found in linking crises with macroeconomic, financial and political fundamentals, despite the noise increasing tendency of higher frequency data. Considerable heterogeneity in the events surrounding crises is documented, rendering globally applicable rules for prediction and prevention inappropriate. The findings are robust to different specifications but the definition of crisis has a bearing on its predictability.

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    File URL: http://www.lboro.ac.uk/departments/ec/Reasearchpapers/2004/paper%201%20-%20v8.pdf
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    Paper provided by Department of Economics, Loughborough University in its series Discussion Paper Series with number 2004_8.

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    Date of creation: Aug 2004
    Date of revision: Aug 2004
    Handle: RePEc:lbo:lbowps:2004_8
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    Loughborough, Leicestershire, LE11 3TU

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    Web page: http://www.lboro.ac.uk/departments/sbe/research/economics/index.html

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    17. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
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