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Asia and Pacific > Thailand

You are looking at 1 - 3 of 3 items for :

  • Type: Journal Issue x
  • Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions x
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Cover IMF Working Papers
Speculative Attacks in the Asian Crisis
Mr. Zhiwei Zhang
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 a duration variable to capture the changes in the frequency of attacks, which might be an important factor influencing investors' expectations. The empirical results show that the ACH model explains the crisis far better than the Probit model. The duration variable is highly significant while most fundamentals are not. The contagion effect is tested and accepted under the ACH specification.
Keywords:
WP; exchange rate; ACH; currency crisis; duration analysis; ACH model; ACH specification; contagion effect; specification to model change; contagion theory; contagion variable; Probit models; Exchange rate adjustments; Currencies; Exchange rates; Real exchange rates; Global; East Asia
Cover IMF Working Papers
Contagion, Monsoons, and Domestic Turmoil in Indonesia: A Case Study in the Asian Currency Crisis
Ms. Sweta Chaman Saxena
and
Ms. Valerie Cerra
This paper investigates whether Indonesia’s recent currency crisis was due to domestic fundamentals, common external shocks (“monsoons”), or contagion from neighboring countries. Markov-switching models attribute speculative pressure on Indonesia’s currency to domestic political and financial factors and contagion from speculative pressures in Thailand and Korea. In particular, the results from a time-varying transition probability Markov-switching model (which overcomes some drawbacks of previous methods) show that inclusion of exchange rate pressures from Thailand and Korea in the transition probabilities improves the conditional probabilities of crisis in Indonesia. There is also evidence of contagion in the stock market.
Keywords:
WP; transition probability; Currency crisis; Contagion; Indonesia; Markov-switching models; crisis state; Indonesia's MPI; pressure in Thailand; exchange rate pressure; forecasted values; crisis in Indonesia; exchange rate crisis; confidence index; overvalued exchange rate; MSM result; MPIS from Thailand; Exchange rates; Real effective exchange rates; Probit models; Stock markets; Asia and Pacific; Global; East Asia; South Asia
Cover IMF Working Papers
Are Currency Crises Predictable? A Test
Ms. Catherine A Pattillo
and
Mr. Andrew Berg
This paper evaluates three models for predicting currency crises that were proposed before 1997. The idea is to answer the question: if we had been using these models in late 1996, how well armed would we have been to predict the Asian crisis? The results are mixed but somewhat encouraging. One model, and our modifications to it, provide useful forecasts, at least compared with a naive benchmark. The head-to-head comparison also sheds light on the economics of currency crises, the nature of the Asian crisis, and issues in the empirical modeling of currency crises.
Keywords:
WP; probability of crisis; KLR crisis date; crisis index; currency crisis; Currency crises; vulnerability indicators; Asian crisis; balance of payments crises; crisis prediction; crisis countries Thailand; crisis probability; crisis date; Real exchange rates; Early warning systems; Probit models; Current account; Global; Asia and Pacific; Africa