Predicting emerging market currency crashes
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Predicting emerging market currency crashes

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Published by University of London, Institute for Financial Research .
Written in English


Book details:

Edition Notes

StatementMohan Kumar, Uma Moorthy and William Perraudin.
SeriesWorking paper -- no IFR51
ContributionsPerraudin, William., Moorthy, Uma., University of London. Institute for Financial Research, Birkbeck College.
ID Numbers
Open LibraryOL17526237M

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This paper assesses the extent to which crashes in emerging market currencies are predictable using simple logit models based on lagged macroeconomic and financial data. To evaluate our model, we calculate trading strategies in which an investor goes long or short in the currency depending on whether crash probabilities are low or by: Predicting Emerging Market Currency Crashes This paper assesses the extent to which crashes in emerging market currencies are predictable using simple logit models based on lagged macroeconomic and financial data.   This paper assesses the extent to which crashes in emerging market currencies are predictable using simple logit models based on lagged macroeconomic and financial data. To evaluate our model, we calculate trading strategies in which an investor goes long or short in the currency depending on whether crash probabilities are low or by: 3. We study the extent to which crashes in emerging market currencies are predictable using simple logit models based on lagged macroeconomic and financial data. To evaluate our model, we calculate trading strategies in which an investor goes long or short in the currency depending on whether crash probabilities are low or by:

This paper assesses the extent to which crashes in emerging market currencies are predictable using simple logit models based on lagged macroeconomic and financial data. To evaluate our model, we calculate trading strategies in which an investor goes long or short in the currency depending on whether crash probabilities are low or high. Title: Predicting Emerging Market Currency Crashes - WP/02/7 Created Date: 1/17/ PM. attack m:;del delivers several factors that should be important in predicting currency crashes: monetary and fiscal expansions, declining price competitiveness, current account deficits, and losses in international reserves. While some of the predictions of these models have been borne out empirically. () that emerging markets with more rigid exchange. rate regimes were less prone to currency crises during the last two decades. Finally, the results reinforced the view that developing a stable model capable. of predicting or even explaining currency crises can be a challenging task.

Predicting emerging market currency crashes. Mohan Kumar, Uma Moorthy and William Perraudin. Journal of Empirical Finance, , vol. 10, issue 4, Date: References: View references in EconPapers View complete reference list from CitEc Citations: View citations in EconPapers () Track citations by RSS feed. Downloads: (external link)Cited by: This paper assesses the extent to which crashes in emerging market currencies are predictable using simple logit models based on lagged macroeconomic and financial data. to evaluate our model, we calculate trading strategies in which an investor goes long or short in the currency depending on whether crash probabilities are low or high. Currency Crashes in Emerging Markets: Empirical Indicators REVISED DRAFT: Janu Jeffrey A. Frankel and Andrew K. Rose* Abstract We use a panel of annual data for over one hundred developing countries from through to characterize currency crashes. We define a currency crash .   Colombo, who blogs at The Bubble Bubble, is among a handful of market watchers credited with predicting the housing bubble and subsequent financial market collapse. By .