Speculative Attacks in the Asian Crisis

November 1, 2001

Preview Citation

Format: Chicago

Zhiwei Zhang. Speculative Attacks in the Asian Crisis, (USA: International Monetary Fund, 2001) accessed November 8, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

This paper takes the Asian crisis as an example to show that the Autoregressive Conditional Hazard (ACH) model is a powerful tool for studying the time series features of speculative attacks. The ACH model proposes a duration variable to capture the changes in the frequency of attacks, which might be an important factor influencing investors' expectations. The empirical results show that the ACH model explains the crisis far better than the Probit model. The duration variable is highly significant while most fundamentals are not. The contagion effect is tested and accepted under the ACH specification.

Subject: Currencies, Econometric analysis, Exchange rate adjustments, Exchange rates, Foreign exchange, Money, Probit models, Real exchange rates

Keywords: ACH, ACH model, ACH specification, Contagion effect, Contagion theory, Contagion variable, Currencies, Currency crisis, Duration analysis, East Asia, Exchange rate, Exchange rate adjustments, Exchange rates, Global, Probit models, Real exchange rates, Specification to model change, WP

Publication Details

Pages:

20
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2001/189
Stock No:

WPIEA1892001
ISBN:

9781451859614
ISSN:

1018-5941

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