Hidden Bibliographic Details
Other authors / contributors: | Moorthy, Uma.
Perraudin, W. R. M.
International Monetary Fund. Research Department.
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Notes: | Includes bibliographical references (pages 37-38). 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 digitized 2010 HathiTrust Digital Library committed to preserve Print version record.
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Summary: | Annotation 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.
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Other form: | Print version: Kumar, Manmohan S. Predicting emerging market currency crashes. [Washington, D.C.] : International Monetary Fund, ©2002
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