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

Tassos G. Anastasatos () and Ian R. Davidson ()
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Tassos G. Anastasatos: Loughborough University, Leicestershire, Postal: Tassos G. Anastasatos, Economics Department Loughborough University, Leicestershire, LE11 3TU,,
Ian R. Davidson: Business School Loughborough University, Postal: Business School Loughborough University Leicestershire LE11 3TU,

Journal of Economic Integration, 2006, vol. 21, 619-656

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, analysed 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 a 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: 2006
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ris:integr:0372

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