Asian Currency Crises: Do Fundamentals still Matter? A Markov-Switching Approach to Causes and Timing

摘要: This paper examines the extent to which Asian currency crises can be accounted for by macroeconomic fundamentals suggested first and second generation models, exclusive of ideas third models. In doing so we extend literature on earlier models using GARCH Path Independent Markov-Switching explain market pressure exchange rate, probability timing a crisis. addition, account appreciations rate. Our empirical estimates Indonesia, South Korea, Malaysia Thailand confirm that variables occurrence at any time, dominating conventionally used logit model.