An Empirical Characterisation of Speculative Pressure: A Comprehensive Panel Study Using LDV Models in High Frequency

Tassos Anastasatos () and Ian R. Davidson ()
Additional contact information
Tassos Anastasatos: Dept of Economics Univ. of Loughborough
Ian R. Davidson: Business School Univ. of Loughborough

Discussion Paper Series from Department of Economics, Loughborough University

Abstract: This article provides a general and robust empirical examination of speculative pressure on various exchange rate regimes using an unusually large panel of monthly data for developed countries, analyzed within the framework of Limited-Dependent Variable (LDV) models with various innovations and extensions. In comparison to studies with lower frequency data, significant differences are found in linking crises with macroeconomic, financial and political fundamentals, despite the noise increasing tendency of higher frequency data. Considerable heterogeneity in the events surrounding crises is documented, rendering globally applicable rules for prediction and prevention inappropriate. The findings are robust to different specifications but the definition of crisis has a bearing on its predictability.

Keywords: Currency crises; speculative pressure; exchange rate; devaluation; Limited-dependent variable models. (search for similar items in EconPapers)
JEL-codes: C23 C25 E44 F31 G15 (search for similar items in EconPapers)
Date: 2004-08, Revised 2004-08
New Economics Papers: this item is included in nep-fin, nep-ifn and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.lboro.ac.uk/departments/ec/Reasearchpap ... per%201%20-%20v8.pdf
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.lboro.ac.uk/departments/ec/Reasearchpapers/2004/paper%201%20-%20v8.pdf [301 Moved Permanently]--> https://www.lboro.ac.uk/departments/ec/Reasearchpapers/2004/paper%201%20-%20v8.pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:lbo:lbowps:2004_8

Access Statistics for this paper

More papers in Discussion Paper Series from Department of Economics, Loughborough University Contact information at EDIRC.
Bibliographic data for series maintained by Huw Edwards ().