Forecasting Currency Crises with Threshold Models
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 156-174 |
| Journal / Publication | International Economics |
| Volume | 156 |
| Online published | 27 Feb 2018 |
| Publication status | Published - Dec 2018 |
Link(s)
Abstract
This paper develops a multi-factor threshold model to provide warning signals for currency crises. Using a panel data set for 16 economies over 20 years, it is found that the ratio of short-term external liabilities to reserves and the lending rate differential are valid threshold variables that can segregate “turbulent” from “tranquil” regime. The corresponding threshold estimates can provide useful pivotal points for governments to formulate regulatory policy measures to reduce the risk of financial crises.
Research Area(s)
- Currency crisis, Multiple threshold variables, Panel data, Threshold model
Citation Format(s)
Forecasting Currency Crises with Threshold Models. / Chong, Terence T.L.; Yan, Isabel K.
In: International Economics, Vol. 156, 12.2018, p. 156-174.Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
