Title Speculative attacks in the Asian crisis / Zhiwei Zhang

Published [Washington, D.C.] : International Monetary Fund, ©2001

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Description 1 online resource (20 pages) : illustrations Series IMF working paper, 2227-8885 ; WP/01/189 IMF working paper ; WP/01/189. Summary This paper takes the Asian crisis as an example to show that the Autoregressive Conditional Hazard (ACH) model is a powerful tool for studying the time series features of speculative attacks. The ACH model proposes a duration variable to capture the changes in the frequency of attacks, which might be an important factor influencing investors' expectations. The empirical results show that the ACH model explains the crisis far better than the Probit model. The duration variable is highly significant while most fundamentals are not. The contagion effect is tested and accepted under the ACH specification Bibliography Includes bibliographical references (pages 18-20) Notes Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL English digitized 2010 HathiTrust Digital Library committed to preserve pda MiAaHDL Print version record Subject Financial crises -- Asia -- Econometric models Foreign exchange -- Asia -- Econometric models Speculation -- Econometric models Contagion (Social psychology) -- Econometric models Time-series analysis. Financial crises -- Econometric models Foreign exchange -- Econometric models Speculation -- Econometric models Time-series analysis Asia Form Electronic book Author International Monetary Fund. Research Department. ISBN 1451904975 9781451904970 1282106236 9781282106239 1462395252 9781462395255 1452761280 9781452761282 9786613799586 6613799580

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