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 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 Markov Switching GARCH Models of Currency Turmoil in Southeast Asia written by Robert S. Mariano and published by . This book was released on 2006 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Markov Chains in Predictive Models of Currency Crises with Applications to Southeast Asia written by Roberto S. Mariano and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Markov regime switching model for exchange rate fluctuations, with time-varying transition probabilities, is used in constructing a monthly model for predicting currency crises in Southeast Asia. The approach is designed to avoid the estimation inconsistency that might arise from misclassification errors in the construction of crisis dummy variables which other approaches (such as probit/logit and signaling) require. Our methodology also addresses the serial correlations and sudden behavior inherent in crisis occurrence, identifies a set of reliable and observable indicators of impending crisis difficulties, delivers forecast probabilities of future crises over multi-period forecasting horizons, and offers an empirical framework for analyzing contagion effects of a crisis. Our empirical results indicate that the Markov switching model is moderately successful at predicting crisis episodes, but also points to future research in various directions. Most early warning systems for currency crises have used either probit or signaling. Several issues can be raised regarding these techniques: the need for a priori dating of crisis occurrence, the use of arbitrary thresholds, inadequate modeling of the dynamics in the system, among others. We present an alternative framework, based on a Markov-switching model of exchange rate fluctuations with time-varying transition probabilities, which addresses these concerns.

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 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 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 Asian Currency Crises written by J. L. Ford and published by . This book was released on 2007 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Regime Switching as an Alternative Early Warning System of Currency Crises written by Guillaume Arias and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 Journal for studies in economics and econometrics written by and published by . This book was released on 2004 with total page 820 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book International Finance Discussion Papers written by and published by . This book was released on 2007 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Alternative Economic Indicators written by C. James Hueng and published by W.E. Upjohn Institute. This book was released on 2020-09-08 with total page 133 pages. Available in PDF, EPUB and Kindle. Book excerpt: Policymakers and business practitioners are eager to gain access to reliable information on the state of the economy for timely decision making. More so now than ever. Traditional economic indicators have been criticized for delayed reporting, out-of-date methodology, and neglecting some aspects of the economy. Recent advances in economic theory, econometrics, and information technology have fueled research in building broader, more accurate, and higher-frequency economic indicators. This volume contains contributions from a group of prominent economists who address alternative economic indicators, including indicators in the financial market, indicators for business cycles, and indicators of economic uncertainty.

Download or read book Global Shocks and the New Global and Regional Financial Architecture written by Naoyuki Yoshino and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asian economies continue to be subject to new shocks: US monetary policy tightening, the adoption of negative-interest-rate policies by central banks all over the world, the slowdown of the People's Republic of China, and the sharp drop in oil and other commodity prices. All these highlight the vulnerability of the region to volatile trade and capital flows even as the global and Asian regional financial architecture evolves. This volume analyzes the vulnerabilities of Asian economies to external economic and financial shocks and assesses the performance of Asian regional institutions in financial surveillance and cooperation. It also evaluates ongoing reforms of the global financial architecture, including the International Monetary Fund (IMF), the Financial Stability Board, and reviews the experience of the "Troika" (European Commission, European Central Bank, and the IMF) in managing the European sovereign debt and banking crisis. Based on these, the book develops valuable recommendations to strengthen the Asian regional financial architecture and improve cooperation with global multilateral institutions.

Download or read book Exchange Rate Economics written by Ronald MacDonald and published by Routledge. This book was released on 2005 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: ''In summary, the book is valuable as a textbook both at the advanced undergraduate level and at the graduate level. It is also very useful for the economist who wants to be brought up-to-date on theoretical and empirical research on exchange rate behaviour.'' ""Journal of International Economics""

Download or read book World Economic Outlook April 2009 written by International Monetary Fund. Research Dept. and published by International Monetary Fund. This book was released on 2009-04-22 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edition of the World Economic Outlook explores how a dramatic escalation of the financial crisis in September 2008 provoked an unprecedented contraction of activity and trade, despite active policy responses. It presents economic projections for 2009 and 2010, and also looks beyond the current crisis, considering factors that will shape the landscape of the global economy over the medium term, as businesses and households seek to repair the damage. The analysis also outlines the difficult policy challenges presented by the overwhelming imperative to take all steps necessary to restore financial stability and revive the global economy, and the longer-run need for national actions to be mutually supporting. The first of two analytical chapters, "What Kind of Economic Recovery?" explores the shape of the eventual recovery. The second, "The Transmission of Financial Stress from Advanced to Emerging and Developing Economies," focuses on the role of external financial linkages and financial stress in transmitting economic shocks.

Download or read book The Impact of the Global Financial Crisis on Emerging Financial Markets written by Jonathan Batten and published by Emerald Group Publishing. This book was released on 2011-03-02 with total page 745 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Global Financial Crisis of 2007-2009 has highlighted the resilience of the financial markets and economies from the developing world. This title investigates and assesses the impact and response to the crisis from an emerging markets perspective including asset pricing, contagion, financial intermediation, market structure and regulation.