کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5063482 1372237 2008 25 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Markov switching GARCH models of currency turmoil in Southeast Asia
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
Markov switching GARCH models of currency turmoil in Southeast Asia
چکیده انگلیسی
This paper analyzes exchange rate turmoil with a Markov switching GARCH model. We distinguish between two different regimes in both the conditional mean and the conditional variance: “ordinary” regime, characterized by low exchange rate changes and low volatility, and “turbulent” regime, characterized by high exchange rate devaluation and high volatility. We also allow the transition probabilities to vary over time as functions of economic and financial indicators. We find that real effective exchange rates, money supply relative to reserves, stock index returns, and bank stock index returns and volatility contain valuable information for identifying turbulent and ordinary periods.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Emerging Markets Review - Volume 9, Issue 2, June 2008, Pages 104-128
نویسندگان
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