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Title: An empirical characterisation of speculative pressure: a comprehensive panel study using LDV models in high frequency
Authors: Anastasatos, Tassos G.
Davidson, Ian R.
Keywords: Currency prices
Accumulated pressure
Issue Date: 2004
Abstract: This article provides a general and robust empirical examination of speculative pressure on various exchange rate regimes using an unusually large panel of monthly data for developed countries, analyzed within the framework of Limited-Dependent Variable (LDV) models with various innovations and extensions. In comparison to studies with lower frequency data, significant differences are found in linking crises with macroeconomic, financial and political fundamentals, despite the noise increasing tendency of higher frequency data. Considerable heterogeneity in the events surrounding crises is documented, rendering globally applicable rules for prediction and prevention inappropriate. The findings are robust to different specifications but the definition of crisis has a bearing on its predictability.
Description: Economics Research Paper, no. 04-19
URI: https://dspace.lboro.ac.uk/2134/333
Appears in Collections:Working Papers (Economics)

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