Speculative Attacks in the Asian Crisis
November 1, 2001
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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
Pages:
20
Volume:
2001
DOI:
Issue:
189
Series:
Working Paper No. 2001/189
Stock No:
WPIEA1892001
ISBN:
9781451859614
ISSN:
1018-5941
