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. To evaluate our model, we calculate trading strategies in which an investor goes long or short in the currency depending on whethe...

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Detalles Bibliográficos
Autor principal: Perraudin, W.
Otros Autores: Kumar, Manmohan, Moorthy, Uma
Formato: Revista
Lenguaje:English
Publicado: Washington, D.C. : International Monetary Fund, 2002.
Colección:IMF Working Papers; Working Paper ; No. 2002/007
Acceso en línea:Full text available on IMF