IMF Staff papers

IMF Staff papers

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This paper analyzes the predictability of currency crises. The paper evaluates three models for predicting currency crises that were proposed before 1997. Two of the models failed to provide useful forecasts. One model provides forecasts that are somewhat informative though still not reliable. Plausible modifications to this model improve its performance, providing some hope that future models may do better. The study suggests, though, that although forecasting models may help indicate vulnerability to crises, the predictive power of even the best of them may be limited.The bad news dummy coefficient is 0.044, while the good news coefficient estimate is a€”0.059. The U.S. stock market had a favorable impact on the currencies of Thailand and Malaysia. The estimates of the impact of the yendollar exchangeanbsp;...

Title:IMF Staff papers
Author:International Monetary Fund. Research Dept.
Publisher:International Monetary Fund - 1999-01-01


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