Predicting Emerging Market Currency Crashes

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 whether crash probabilities are low or high. When we... READ MORE...

Publication date: January 2002
ISBN 9781451842425
$15.00

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