Predicting Emerging Market Currency Crashes:
This paper assesses the extent to which crashes in emerging market currencies are predictable using simple logit models based on lagged macroeconomic and financial data. To evaluate our model, we calculate trading strategies in which an investor goes long or short in the currency depending on whethe...
Gespeichert in:
1. Verfasser: | |
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Format: | Elektronisch E-Book |
Sprache: | English |
Veröffentlicht: |
Washington, D.C
International Monetary Fund
2002
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Schriftenreihe: | IMF Working Papers
Working Paper No. 02/7 |
Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
Zusammenfassung: | This paper assesses the extent to which crashes in emerging market currencies are predictable using simple logit models based on lagged macroeconomic and financial data. To evaluate our model, we calculate trading strategies in which an investor goes long or short in the currency depending on whether crash probabilities are low or high. When we estimate the model on part of the data and then use the parameter estimates to generate predictions for the remainder of the sample, we find that substantial profits may be made. Furthermore, the model correctly forecasts major crashes even on an out-of-sample basis |
Beschreibung: | 1 Online-Ressource (38 p) |
ISBN: | 1451842422 9781451842425 |
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index_date | 2024-07-03T20:13:29Z |
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spelling | Perraudin, W. R. M. Verfasser aut Predicting Emerging Market Currency Crashes Perraudin, W. R. M Washington, D.C International Monetary Fund 2002 1 Online-Ressource (38 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 02/7 This paper assesses the extent to which crashes in emerging market currencies are predictable using simple logit models based on lagged macroeconomic and financial data. To evaluate our model, we calculate trading strategies in which an investor goes long or short in the currency depending on whether crash probabilities are low or high. When we estimate the model on part of the data and then use the parameter estimates to generate predictions for the remainder of the sample, we find that substantial profits may be made. Furthermore, the model correctly forecasts major crashes even on an out-of-sample basis Online-Ausg Kumar, Manmohan S. Sonstige oth Moorthy, Uma Sonstige oth http://elibrary.imf.org/view/IMF001/05382-9781451842425/05382-9781451842425/05382-9781451842425.xml Verlag URL des Erstveröffentlichers Volltext |
spellingShingle | Perraudin, W. R. M. Predicting Emerging Market Currency Crashes |
title | Predicting Emerging Market Currency Crashes |
title_auth | Predicting Emerging Market Currency Crashes |
title_exact_search | Predicting Emerging Market Currency Crashes |
title_exact_search_txtP | Predicting Emerging Market Currency Crashes |
title_full | Predicting Emerging Market Currency Crashes Perraudin, W. R. M |
title_fullStr | Predicting Emerging Market Currency Crashes Perraudin, W. R. M |
title_full_unstemmed | Predicting Emerging Market Currency Crashes Perraudin, W. R. M |
title_short | Predicting Emerging Market Currency Crashes |
title_sort | predicting emerging market currency crashes |
url | http://elibrary.imf.org/view/IMF001/05382-9781451842425/05382-9781451842425/05382-9781451842425.xml |
work_keys_str_mv | AT perraudinwrm predictingemergingmarketcurrencycrashes AT kumarmanmohans predictingemergingmarketcurrencycrashes AT moorthyuma predictingemergingmarketcurrencycrashes |