How Homogenous are Currency Crises? A Panel Study Using Multiple-Response Models
Tassos G. Anastasatos () and
Ian R. Davidson
Additional contact information
Tassos G. Anastasatos: Bank of Greece and Business School, University of Loughborough
Ian R. Davidson: Business School, University of Loughborough
No 52, Working Papers from Bank of Greece
This paper presents evidence that currency episodes display heterogeneity in terms of their evolution, their impact on the inflicted economy and their links with financial, political and macroeconomic fundamentals. Limited-dependent variable models for ordered and unordered outcomes along with their heteroskedastic and random effects extensions are applied to a large panel of data comprising 40 years of monthly observations on 23 developed countries. Heterogeneity, complemented by indications of self-fulfilling expectations and noise, suggest that time and region specific predictive approaches and policy responses are more useful than trying to base analysis and policy decisions on more general patterns. Results are established with formal specification tests.
Keywords: Money demand; Currency crises; speculative pressure; exchange rate; devaluation; Limited-dependent variable models (search for similar items in EconPapers)
JEL-codes: F31 C23 C25 E44 G15 (search for similar items in EconPapers)
Pages: 44 pages
New Economics Papers: this item is included in nep-ifn and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
http://www.bankofgreece.gr/BogEkdoseis/Paper200652.pdf Full Text (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bog:wpaper:52
Access Statistics for this paper
More papers in Working Papers from Bank of Greece Contact information at EDIRC.
Bibliographic data for series maintained by Christina Tsochatzi ().