| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 965472 | Journal of Macroeconomics | 2012 | 13 Pages |
Abstract
⺠We develop a general econometric model of currency crises and contagion. ⺠The model has time-varying transition probabilities and shifting correlations. ⺠We analyze the Portuguese escudo and Spanish peseta during the EMS crisis. ⺠Interest rate differential has perverse effects in Portugal but positive in Spain. ⺠There is strong evidence of contagion mostly from the peseta to the escudo.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
José Mário Lopes, Luis C. Nunes,