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A Perspectiveon Predicting Currency Crises, Robert Flood, Juan Yepez, Nancy Marion

Abstract
Currency crises are difficult to predict. It could be that we are choosing the wrong variables or using the wrong models or adopting measurement techniques not up to the task. We set up a Monte Carlo experiment designed to evaluate the measurement techniques. In our study, the methods are given the right fundamentals and the right models and are evaluated on how closely the estimated predictions match the objectively correct predictions. We find that all methods do reasonably well when fundamentals are explosive and all do badly when fundamentals are merely highly volatile
Table Of Contents
Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. A Model of Currency Crises; 1. Probability of a Crisis - Uniform Distribution of Shock; III. Data Generation; 2. The z(t) Value for Mexico; 3a. Histogram of Residuals z(t) Process Early Mexican Data; 3b. Histogram of Residuals z(t) Process Later Mexican Data; IV. Estimating Crisis Probabilities; V. Accuracy of the Estimated Probabilities; 1. Results for 1974:Q4-1986:Q4; 2. Results for 1990:Q1-2008:Q4; VI. Conclusion; Data Used; Reference; Footnotes
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (41 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781455248650

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