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Reassessment Of Currency Index By Fundamentals

Hiroya Akiba () and Yonghui Jia
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Yonghui Jia: Graduate School of Economics, Waseda University

Annals of Economics and Finance, 2007, vol. 8, issue 1, 65-93

Abstract: We examine empirical consistency of the fundamentals in (1) the Middle and South American and (2) the Asian currency crises with the first-generation model, using panel data. We also evaluate our model by forecasting, and examine the differences between the two currency crises in terms of fundamentals. Some differences in explanatory power between fundamentals suggest that we should consider other factors in addition to our fundamentals. Dividing data into the two countries groups manifests that the causes were slightly different. The in-sample and out-of-sample tests indicate that our model could better predict the Middle and South American currency crisis.

Keywords: Currency crisis; Fundamentals; Panel data (search for similar items in EconPapers)
JEL-codes: F31 F37 F41 (search for similar items in EconPapers)
Date: 2007
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