EconPapers    
Economics at your fingertips  
 

Asian Currency Crises: Do Fundamentals still Matter? A Markov-Switching Approach to Causes and Timing

J L Ford, Bagus Santoso and N J Horsewood

Discussion Papers from Department of Economics, University of Birmingham

Abstract: This paper examines the extent to which the Asian currency crises can be accounted for by the macroeconomic fundamentals suggested by first and second generation models, exclusive of the ideas of the third generation models. In doing so we extend the literature on the earlier models by using GARCH and Path Independent Markov-Switching GARCH models to explain the market pressure on the exchange rate, and the probability of the timing of a crisis. In addition, we account for appreciations of the exchange rate. Our empirical estimates for Indonesia, South Korea, Malaysia and Thailand confirm that macroeconomic variables can explain the crises and the probability of occurrence at any time, dominating the conventionally used logit model.

Keywords: Currency crisis; macroeconomic fundamentals; Markov-switching; volatile sate; stable state; probability of a crisis; logit model (search for similar items in EconPapers)
JEL-codes: F31 F40 (search for similar items in EconPapers)
Pages: 50 pages
Date: 2007-07
New Economics Papers: this item is included in nep-bec, nep-cba, nep-ifn, nep-mac, nep-mon, nep-rmg and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
https://repec.cal.bham.ac.uk/pdf/07-07.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:bir:birmec:07-07

Access Statistics for this paper

More papers in Discussion Papers from Department of Economics, University of Birmingham Contact information at EDIRC.
Bibliographic data for series maintained by Oleksandr Talavera ().

 
Page updated 2023-05-13
Handle: RePEc:bir:birmec:07-07