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Interpreting the Asian currency cris...

Kim, Hoon.

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Interpreting the Asian currency crisis: Empirical analysis and prediction.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Interpreting the Asian currency crisis: Empirical analysis and prediction./
Author:	Kim, Hoon.
Description:	259 p.
Notes:	Adviser: Richard T. Baillie.
Contained By:	Dissertation Abstracts International63-09A.
Subject:	Economics, Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3064253
ISBN:	049383110X

Interpreting the Asian currency crisis: Empirical analysis and prediction.
Kim, Hoon.

Interpreting the Asian currency crisis: Empirical analysis and prediction. - 259 p.

Adviser: Richard T. Baillie.

Thesis (Ph.D.)--Michigan State University, 2002.

This dissertation investigates the causes of the Asian crisis and improves implementation in predicting actual currency crises. Chapter I presents an overview of the inception and development of the Asian crisis with a focus on the movements of the macroeconomic variables and the structural conditions of the financial systems. Chapter II shows some evidence of deterioration of fundamentals. Yet the deterioration was not so severe as to make the outbreak of the Asian currency crisis an inescapable result.

ISBN: 049383110XSubjects--Topical Terms:

626650
Economics, Finance.

Interpreting the Asian currency crisis: Empirical analysis and prediction.
LDR:04142nam 2200301 a 45 001 930843
005 20110429
008 110429s2002 eng d
020 $a 049383110X
035 $a (UnM)AAI3064253
035 $a AAI3064253
040 $a UnM $c UnM
100 1 $a Kim, Hoon. $3 1254390
245 1 0 $a Interpreting the Asian currency crisis: Empirical analysis and prediction.
300 $a 259 p.
500 $a Adviser: Richard T. Baillie.
500 $a Source: Dissertation Abstracts International, Volume: 63-09, Section: A, page: 3287.
502 $a Thesis (Ph.D.)--Michigan State University, 2002.
520 $a This dissertation investigates the causes of the Asian crisis and improves implementation in predicting actual currency crises. Chapter I presents an overview of the inception and development of the Asian crisis with a focus on the movements of the macroeconomic variables and the structural conditions of the financial systems. Chapter II shows some evidence of deterioration of fundamentals. Yet the deterioration was not so severe as to make the outbreak of the Asian currency crisis an inescapable result.
520 $a Chapter III's survey of the currency crisis literature finds that most nonstructural empirical studies are limited by a lack of robustness to various sensitivity tests and poor performance in the prediction of actual crises. Therefore, to determine the uniqueness of the Asian crisis and to improve performance in predicting actual crises, structural model studies are used to model the currency crisis. Chapter IV then offers an analysis of the time series properties and forecasts of each variable of the structural currency crisis models introduced in Chapter III for the derivation of shadow exchange rates and probabilities of collapse. As a result of the addition of the ARFIMA(p,d,q)-FIGARCH(P,δ,Q) model to the analysis, it is found that some processes exhibit long memory in both their conditional mean and variances. In Chapter V, long and short-run real money demand functions are estimated for the derivation of shadow exchange rates and probabilities of collapse. The empirical results of this chapter suggest that both long and short-run models can be specified in South Korea and in Malaysia. This justifies the monetary approach using the structural currency crisis model. Chapter VI estimates shadow exchange rates and probabilities of an exchange rate regime change for South Korea and Malaysia. Two countries experienced severe currency devaluation. This employs forecasts for the analyzed variables in Chapter IV and the estimates of real money demand function found in Chapter V. Both shadow exchange rates and probabilities of collapse reflecting the presence of weak fundamentals show that there were reasons to anticipate the 1997 Asian currency crisis.
520 $a In Chapter VII, a more extensive analysis of currency crisis with respect to the number of countries and the currency crisis episodes is performed using panel data. Here, the focus is on the role of contagion effects on the spread of currency crisis. The empirical results show that lending booms impact the currency crisis index much more among developing countries than industrial countries. In addition, contagion effects, represented by trade linkage and market sentiment, significantly improve the ability to predict the eruption of a currency crisis after controlling for other macroeconomic variables.
520 $a Based on the preceding empirical results, it appears that weak fundamentals and contagion effects can be indicators of upcoming currency crisis implying cumulative depreciation pressure. Nevertheless, a currency crisis cannot erupt without triggering events such as bank failure, corporate failure or political uncertainty that induce an equilibrium, currency crisis, to be an inescapable result among the multiple equilibria.
590 $a School code: 0128.
650 4 $a Economics, Finance. $3 626650
690 $a 0508
710 2 0 $a Michigan State University. $3 676168
773 0 $t Dissertation Abstracts International $g 63-09A.
790 $a 0128
790 1 0 $a Baillie, Richard T., $e advisor
791 $a Ph.D.
792 $a 2002
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3064253