Speculative attacks in the Asian crisis /

Speculative attacks in the Asian crisis /

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Bibliographic Details
Author / Creator:	Zhang, Zhiwei, 1974-
Imprint:	[Washington, D.C.] : International Monetary Fund, ©2001.
Description:	1 online resource (20 pages) : illustrations
Language:	English
Series:	IMF working paper, 2227-8885 ; WP/01/189 IMF working paper ; WP/01/189.
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.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12496568

Hidden Bibliographic Details
Other authors / contributors:	International Monetary Fund. Research Department.
ISBN:	1451904975 9781451904970 1282106236 9781282106239 1462395252 9781462395255 1452761280 9781452761282 9786613799586 6613799580
Notes:	Includes bibliographical references (pages 18-20). Restrictions unspecified Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010. 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 English. digitized 2010 HathiTrust Digital Library committed to preserve Print version record.
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.
Other form:	Print version: Zhang, Zhiwei, 1974- Speculative attacks in the Asian crisis. [Washington, D.C.] : International Monetary Fund, ©2001
Standard no.:	10.5089/9781451904970.001

Description
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.
Physical Description:	1 online resource (20 pages) : illustrations
Format:	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.
Bibliography:	Includes bibliographical references (pages 18-20).
ISBN:	1451904975 9781451904970 1282106236 9781282106239 1462395252 9781462395255 1452761280 9781452761282 9786613799586 6613799580
ISSN:	2227-8885 ;