Series: IMF Working Papers
Author(s): W. Perraudin , Manmohan Kumar , and Uma Moorthy
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 January 2002
Keywords: emerging market crises, trading strategies, probability, exchange rate, probabilities, foreign exchange, forecasting
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...