Currency Crises and Uncertainty About Fundamentals /

Currency Crises and Uncertainty About Fundamentals /

This paper studies how uncertainty about fundamentals contributed to currency crises from both a theoretical and an empirical perspective. We find evidenceCbased on a monthly dataset of Consensus forecasts for six Asian countries in the period January 1995-May 2001Cconfirming the theoretical predict...

Szczegółowa specyfikacja

Opis bibliograficzny
1. autor: Sbracia, M.
Kolejni autorzy: Prati, Alessandro
Format: Czasopismo
Język:English
Wydane: Washington, D.C. : International Monetary Fund, 2002.
Seria:IMF Working Papers; Working Paper ; No. 2002/003
Dostęp online:Full text available on IMF
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100 1 |a Sbracia, M. 
245 1 0 |a Currency Crises and Uncertainty About Fundamentals /  |c M. Sbracia, Alessandro Prati. 
264 1 |a Washington, D.C. :  |b International Monetary Fund,  |c 2002. 
300 |a 1 online resource (46 pages) 
490 1 |a IMF Working Papers 
500 |a <strong>Off-Campus Access:</strong> No User ID or Password Required 
500 |a <strong>On-Campus Access:</strong> No User ID or Password Required 
506 |a Electronic access restricted to authorized BRAC University faculty, staff and students 
520 3 |a This paper studies how uncertainty about fundamentals contributed to currency crises from both a theoretical and an empirical perspective. We find evidenceCbased on a monthly dataset of Consensus forecasts for six Asian countries in the period January 1995-May 2001Cconfirming the theoretical predictions (from both unique- and multiple-equilibria models) that: (i) speculative attacks depend not only on actual and expected fundamentals but also on the variance of speculators' expectations about them; and (ii) the sign of the effect of the variance depends on whether expected fundamentals are "good" or "bad." These results are robust to the definition of exchange rate pressure indices, the estimation sample (precrisis vs. full sample), the method chosen to avoid spurious correlations, and possible time-varying coefficients for the mean, the variance, and the threshold separating good from bad expected fundamentals. 
538 |a Mode of access: Internet 
700 1 |a Prati, Alessandro. 
830 0 |a IMF Working Papers; Working Paper ;  |v No. 2002/003 
856 4 0 |z Full text available on IMF  |u http://elibrary.imf.org/view/journals/001/2002/003/001.2002.issue-003-en.xml  |z IMF e-Library 

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