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Perspectiveson the Recent Currency Crisis Literature

Perspectiveson the Recent Currency Crisis Literature »

Source: Perspectiveson the Recent Currency Crisis Literature

Volume/Issue: 1998/130

Series: IMF Working Papers

Author(s): Nancy Marion , and Robert Flood

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 1998

ISBN: 9781451855166

Keywords: Speculative attack, currency crisis, exchange rate, fixed exchange rate, speculative attacks, domestic credit

In the 1990s, currency crises in Europe, Mexico, and Asia have drawn worldwide attention to speculative attacks on government-controlled exchange rates and have prompted researchers to undertake new theoretical and...

Speculative Attacks*

Speculative Attacks* »

Source: Speculative Attacks

Volume/Issue: 1991/10

Series: IMF Working Papers

Author(s): Pablo Guidotti , and Guillermo Calvo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 1991

ISBN: 9781451926514

Keywords: exchange rate, speculative attack, domestic credit, speculative attacks, exchange rate regime

A brief survey of the literature on speculative attacks is provided. The nature and causes of balance-of-payments crises, the implications for the behavior of the current account and the real exchange rate are disc...

Speculative Attacks and Models of Balance of Payments Crises

Speculative Attacks and Models of Balance of Payments Crises »

Source: Speculative Attacks and Models of Balance of Payments Crises

Volume/Issue: 1991/99

Series: IMF Working Papers

Author(s): Robert Flood , Jagdeep Bhandari , and Pierre-Richard Agénor

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 1991

ISBN: 9781451852189

Keywords: exchange rate, domestic credit, speculative attack, real exchange rate, fixed exchange rate, Speculative Attacks,

This paper reviews recent developments in the theoretical and empirical analysis of balance-of-payments crises. A simple analytical model highlighting the process leading to such crises is first developed. The basi...

Financial Market Spillovers in Transition Economies

Financial Market Spillovers in Transition Economies »

Source: Financial Market Spillovers in Transition Economies

Volume/Issue: 2000/71

Series: IMF Working Papers

Author(s): Ratna Sahay , and R. Gelos

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2000

ISBN: 9781451849233

Keywords: contagion, speculative attacks, correlations, stock market, correlation, granger causality

This paper examines financial market comovements across European transition economies and compares their experience to that of their regions. Correlations in monthly indices of exchange market pressures can partly...

Multiple Equilibria, Contagion, and the Emerging Market Crises

Multiple Equilibria, Contagion, and the Emerging Market Crises »

Source: Multiple Equilibria, Contagion, and the Emerging Market Crises

Volume/Issue: 1999/164

Series: IMF Working Papers

Author(s): Paul Masson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 1999

ISBN: 9781451857979

Keywords: contagion, multiple equilibria, currency crisis, capital flows, speculative attack, capital account liberalization, bank runs

The paper surveys the types of models producing multiple equilibria in financial markets. It argues that such models are consistent with observed phenomena, such as the greater volatility of financial asset prices...

Property Prices and Speculative Bubbles

Property Prices and Speculative Bubbles »

Source: Property Prices and Speculative Bubbles : Evidence From Hong Kong SAR

Volume/Issue: 2000/2

Series: IMF Working Papers

Author(s): Christoph Duenwald

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2000

ISBN: 9781451841756

Keywords: Hong Kong SAR, property prices, speculative bubbles, real property, real estate, real property prices, statistics

This paper examines the determinants of residential property prices in Hong Kong SAR during 1980–98. It uses time-series analysis techniques to characterize price developments, establish empirical regulariti...

A Perspectiveon Predicting Currency Crises

A Perspectiveon Predicting Currency Crises »

Source: A Perspectiveon Predicting Currency Crises

Volume/Issue: 2010/227

Series: IMF Working Papers

Author(s): Robert Flood , Juan Yepez , and Nancy Marion

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2010

ISBN: 9781455208920

Keywords: Speculative attacks, fixed exchange rate, Monte Carlo, probabilities, standard deviation, probability, correlation,

Currency crises are difficult to predict. It could be that we are choosing the wrong variables or using the wrong models or adopting measurement techniques not up to the task. We set up a Monte Carlo experiment des...

Soft Exchange Rate Bands and Speculative Attacks

Soft Exchange Rate Bands and Speculative Attacks »

Source: Soft Exchange Rate Bands and Speculative Attacks : Theory, and Evidence from the ERM since August 1993

Volume/Issue: 1998/156

Series: IMF Working Papers

Author(s): Leonardo Bartolini , and Alessandro Prati

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1998

ISBN: 9781451857375

Keywords: Exchange rate target zones, speculative attacks, exchange rate, exchange rates, equation, exchange rate target, currency markets

We present a model of a “soft” exchange rate target zone and interpret it as a stylized description of the post-August 1993 ERM. Our central bank targets a moving average of the current and past excha...

Speculative Attacks in the Asian Crisis

Speculative Attacks in the Asian Crisis »

Source: Speculative Attacks in the Asian Crisis

Volume/Issue: 2001/189

Series: IMF Working Papers

Author(s): Zhiwei Zhang

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2001

ISBN: 9781451859614

Keywords: ACH, currency crisis, duration analysis, contagion, speculative attacks, asian crisis, currency crises, equation, Econometric Modeling,

This paper takes the Asian crisis as an example to show that the Autoregressive Conditional Hazard (ACH) model is a powerful tool for studying the time series features of speculative attacks. The ACH model proposes...

Discriminating Contagion

Discriminating Contagion »

Source: Discriminating Contagion : An Alternative Explanation of Contagious Currency Crises in Emerging Markets

Volume/Issue: 2000/14

Series: IMF Working Papers

Author(s): Pavan Ahluwalia

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2000

ISBN: 9781451843118

Keywords: Contagion, currency crisis, balance-of-payments, exchange rate, speculative, currency crises, real exchange rate

This paper shows that a country’s vulnerability to contagious crises depends on the visible similarities between that country and other countries that are experiencing crises. A country is vulnerable to shif...