English, Article edition: NEW METHODOLOGICAL APPROACHES TO THE CONSTRUCTION OF CURRENCY CRASHES MODELS Michal PAZOUR; 130 67 Prague 3 (e-mail: pazour@vse.cz)

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Bookmark: http://trove.nla.gov.au/version/198107
Physical Description
  • article
Language
  • English

Edition details

Title
  • NEW METHODOLOGICAL APPROACHES TO THE CONSTRUCTION OF CURRENCY CRASHES MODELS
Author
  • Michal PAZOUR
  • 130 67 Prague 3 (e-mail: pazour@vse.cz)
Physical Description
  • article
Notes
  • RePEc:prg:jnlpol:v:2004:y:2004:i:3:id:466:p:375-388
  • The large financial crises in the last decade have increased the interest of many economists in searching for some indicators, which can predict speculative attacks on currencies. Most of these studies concern on emerging economies, because they are more vulnerable to such speculative attacks. This paper points out main methodological issues of two standard approaches to the construction of the early warning system - the signal approach and the regression probit or logit model approach. Based on avoiding these issues alternative approaches have been evolved. Three of them - two regimes model, VAR model and Markov-switching model - are described in the next part of this paper. The comparison of predictive power shows the importance of the construction of country specific early warning systems.
  • econometric model, currency crises, early warning
Language
  • English
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