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01723cas a2200265 a 4500 |
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|c 5.00 USD
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|z 9781451842425
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|a 1018-5941
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|c BD-DhAAL
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|a Perraudin, W.
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|a Predicting Emerging Market Currency Crashes /
|c W. Perraudin, Manmohan Kumar, Uma Moorthy.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2002.
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|a 1 online resource (38 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a 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. When we estimate the model on part of the data and then use the parameter estimates to generate predictions for the remainder of the sample, we find that substantial profits may be made. Furthermore, the model correctly forecasts major crashes even on an out-of-sample basis.
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|a Mode of access: Internet
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|a Kumar, Manmohan.
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|a Moorthy, Uma.
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|a IMF Working Papers; Working Paper ;
|v No. 2002/007
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2002/007/001.2002.issue-007-en.xml
|z IMF e-Library
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