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Leading Indicators of Country Risk and Currency Crises: The Asian Experience: A Reprint from the “Economic Review”
This article aims to construct an early warning sy

 
Our Price: $15.00
By Marcelle Chauvet (au); Fang Dong (au)
Year: 2004
Pages: 12
Binding Paperback

Product Code: 1422319946

Description
 
This article aims to construct an early warning system for international currency crises using financial variables reflecting investors’ expectations & banking distress, which are highly sensitive to changes in the economic environment. The authors use a dynamic factor model that switches between two regimes -- representing periods of relative calmness & periods prone to currency crises -- to construct leading indicators of country risk & currency crises. The method is applied to evaluate the model’s in-sample & out-of-sample performance in anticipating currency crises in the last two decades in Thailand, Indonesia, & Korea. The model successfully produces early signals of these crises, particularly the most severe one, which occurred in 1997. Illus.

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