Predicting currency crises with a nested logit model

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)62_Review of books or of software (or similar publications/items)Not applicablepeer-review

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Original languageEnglish
Pages (from-to)295-316
Journal / PublicationPacific Economic Review
Volume10
Issue number3
Publication statusPublished - Oct 2005

Abstract

This paper is the first to apply a nested logit model to measure the probabilities of speculative attacks and the probabilities of successful defences by the central banks. This model allows us to predict the probability not only of speculative attacks but also of successful defences, given attacks. It also provides a framework for analysing the degree to which different factors affect the likelihood of attacks and defences. We find strong evidence that external illiquidity and financial fragility are reliable predictors of currency crises. The results shed light on the validity of the three generations of currency crisis models. © 2005 Blackwell Publishing Ltd.

Citation Format(s)

Predicting currency crises with a nested logit model. / Lau, Lawrence J.; Yan, Isabel K.

In: Pacific Economic Review, Vol. 10, No. 3, 10.2005, p. 295-316.

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)62_Review of books or of software (or similar publications/items)Not applicablepeer-review