Download or read book Markov Chains in Predictive Models of Currency Crises written by Roberto S. Mariano and published by . This book was released on 2002 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: Explores the issue of constructing a monthly economic predictive model of currency crises in Southeast Asia through an alternative econometric methodology that addresses drawbacks in existing approaches.
Download or read book A Predictive Model of Currency Crises in Southeast Asia written by Roberto S. Mariano and published by . This book was released on 2002 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: Explores the issue of constructing a monthly economic predictive model of currency crises in Southeast Asia through an alternative econometric methodology that addresses drawbacks in existing approaches.
Download or read book Advances in Markov Switching Models written by James D. Hamilton and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 267 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of state-of-the-art papers on the properties of business cycles and financial analysis. The individual contributions cover new advances in Markov-switching models with applications to business cycle research and finance. The introduction surveys the existing methods and new results of the last decade. Individual chapters study features of the U. S. and European business cycles with particular focus on the role of monetary policy, oil shocks and co movements among key variables. The short-run versus long-run consequences of an economic recession are also discussed. Another area that is featured is an extensive analysis of currency crises and the possibility of bubbles or fads in stock prices. A concluding chapter offers useful new results on testing for this kind of regime-switching behaviour. Overall, the book provides a state-of-the-art over view of new directions in methods and results for estimation and inference based on the use of Markov-switching time-series analysis. A special feature of the book is that it includes an illustration of a wide range of applications based on a common methodology. It is expected that the theme of the book will be of particular interest to the macroeconomics readers as well as econometrics professionals, scholars and graduate students. We wish to express our gratitude to the authors for their strong contributions and the reviewers for their assistance and careful attention to detail in their reports.
Download or read book Hidden Markov Models in Finance written by Rogemar S. Mamon and published by Springer Science & Business Media. This book was released on 2007-04-26 with total page 203 pages. Available in PDF, EPUB and Kindle. Book excerpt: A number of methodologies have been employed to provide decision making solutions globalized markets. Hidden Markov Models in Finance offers the first systematic application of these methods to specialized financial problems: option pricing, credit risk modeling, volatility estimation and more. The book provides tools for sorting through turbulence, volatility, emotion, chaotic events – the random "noise" of financial markets – to analyze core components.
Download or read book Currency Crises Sunspots and Markov switching Regimes written by Olivier Jeanne and published by . This book was released on 1998 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Markov Switching Garch Models of Currency Crises in Southeast Asia written by Celso Burnetti and published by . This book was released on 2003 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: Develops a model which is able to forecast exchange rate turmoil.
Download or read book Hidden Markov Models written by Ramaprasad Bhar and published by Springer Science & Business Media. This book was released on 2006-04-18 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: Markov chains have increasingly become useful way of capturing stochastic nature of many economic and financial variables. Although the hidden Markov processes have been widely employed for some time in many engineering applications e.g. speech recognition, its effectiveness has now been recognized in areas of social science research as well. The main aim of Hidden Markov Models: Applications to Financial Economics is to make such techniques available to more researchers in financial economics. As such we only cover the necessary theoretical aspects in each chapter while focusing on real life applications using contemporary data mainly from OECD group of countries. The underlying assumption here is that the researchers in financial economics would be familiar with such application although empirical techniques would be more traditional econometrics. Keeping the application level in a more familiar level, we focus on the methodology based on hidden Markov processes. This will, we believe, help the reader to develop more in-depth understanding of the modeling issues thereby benefiting their future research.
Download or read book Markov Switching GARCH Models of Currency Turmoil in Southeast Asia written by and published by . This book was released on 2007 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Currencies Crises Fiscal Policy and Coordination written by Paul R. Masson and published by World Scientific. This book was released on 2011 with total page 355 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume provides an integrated compilation of selected major articles published by the author in several fields of international finance. These include contributions to the understanding of currency crises and financial contagion, the evolution of exchange rate regimes, the interaction between national fiscal policies and regional monetary unions, and the effect of uncertainty on the gains from international economic policy coordination. The author spent most of his career doing research at established institutions (the Bank of Canada, OECD, and IMF), and these articles emerged from the need to understand the major economic policy issues of the day. In the book's introduction, the author discusses the motivation for these contributions and the unifying themes that emerged, while a concluding chapter provides his personal reflections and suggestions about promising avenues for further research.
Download or read book Recent Financial Crises written by The late Lawrence R. Klein and published by Edward Elgar Publishing. This book was released on 2007-01-01 with total page 353 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial crises are recurring phenomena that can cause significant economic and societal loss. This book is therefore vitally important as it analyzes why and how financial crises occur, the extent of their impact, and what can be done to prevent their recurrence or reduce the damage they cause. Comprising original and never-before-published papers by distinguished economists, this book offers insights about lessons that were or should have been learned from recent outbreaks of such crises in East Asia and elsewhere. Recent Financial Crises also presents a set of econometric studies of issues such as labor market behavior, investment and productivity, and exchange rate adjustments. Although China did not have a crisis, its economic behavior was closely monitored in order to see if that had any effect on the crisis conditions. In this respect, the book contains an estimation of China s core inflation rate, as well as its true cost of living index, over a 20-year period spanning the Asian financial crisis. In general, collectively, the studies point to a need for ongoing structural reforms to minimize vulnerability to crises or soften their impact. The necessity for resorting to viable safety nets is also stressed. Policymakers and central bankers will find this book of great value, as will scholars and researchers at many levels of academe, involved in financial, business, and international economics.
Download or read book Markov Switching VAR Model of Speculative Pressure written by Gregorio A. Vargas (III.) and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Markov switching models with time-varying transition probabilities address the limitations of the earlier methods in the early warning system literature on currency crises. Most of the Markov switching models in the literature are largely based on univariate models of exchange rate fluctuations. In this thesis, the components of the index of speculative pressure are modeled using the Markov Switching VAR with time-varying transition probabilities of Martinez Peria (2002). Two approaches, both of which are derived from this model, are taken to determine the probability of a currency crisis: the probability of a turbulent regime and the expected value of the index of speculative pressure. This study shows that the Markov Switching VAR model with time-varying transition probabilities is a good method to use in building an early warning system of a currency crisis. Results show significant improvement on predicting the Asian Financial Crisis by signaling its occurrence at an earlier period with a higher probability when the probability of a turbulent regime approach is employed. It is also more sensitive in detecting turbulent periods that are not necessarily currency crises and therefore renders itself useful in short-term forecasting of speculative pressure episodes. The leading indicators of the Asian Financial Crisis identified in this study are real effective exchange rate, export growth, GDP growth, real domestic credit, M2 ratio, deposits to M2 ratio and non-FDI flows."--Author's abstract.
Download or read book Identifying the Transmission Mechanisms and Growth Effects of Currency Crises written by Rashmi Shankar Mishra and published by . This book was released on 2001 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Markov Switching Var Model of Speculative Pressure An Application to the Asian Financial Crisis written by and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Markov switching models with time-varying transition probabilities address the limitations of the earlier methods in the early warning system literature on currency crises. Most of the Markov switching models in the literature are largely based on univariate models of exchange rate fluctuations. In this thesis, the components of the index of speculative pressure are modeled using the Markov Switching VAR with time-varying transition probabilities of Martinez Peria (2002). Two approaches, both of which are derived from this model, are taken to determine the probability of a currency crisis: the probability of a turbulent regime and the expected value of the index of speculative pressure. This study shows that the Markov Switching VAR model with time-varying transition probabilities is a good method to use in building an early warning system of a currency crisis. Results show significant improvement on predicting the Asian Financial Crisis by signaling its occurrence at an earlier period with a higher probability when the probability of a turbulent regime approach is employed. It is also more sensitive in detecting turbulent periods that are not necessarily currency crises and therefore renders itself useful in short-term forecasting of speculative pressure episodes. The leading indicators of the Asian Financial Crisis identified in this study are real effective exchange rate, export growth, GDP growth, real domestic credit, M2 ratio, deposits to M2 ratio and non-FDI flows.
Download or read book Evaluating Currency Crises written by Kostas Mouratidis and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides an empirical framework to analyse the nature of currency crises by extending earlier work of Jeanne and Masson (2000; Journal of International Economics, Vol. 50, pp. 327-350). Jeanne and Masson suggest a Markov regime switching models to analyse models of currency crises with multiple equilibria. This paper further contributes to the literature by suggesting a multivariate Markov regime switching model. In the new set-up, one can test for the impact of the unobserved dynamics of fundamentals on the probability of devaluation.
Download or read book written by and published by . This book was released on 2008 with total page 688 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Early Warning Systems for Currency Crises written by Abdul de Guia Abiad and published by . This book was released on 2002 with total page 195 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Monetary Economics written by Shiu-Sheng Chen and published by . This book was released on 2004 with total page 174 pages. Available in PDF, EPUB and Kindle. Book excerpt:
