Prediction of Currency Crises: Case of Turkey

@article{Mariano2004PredictionOC,
  title={Prediction of Currency Crises: Case of Turkey},
  author={Roberto S. Mariano and Bulent N. Gultekin and Suleyman Ozmucur and Tayyeb Shabbir and Carl E. Alper},
  journal={Review of Middle East Economics and Finance},
  year={2004},
  volume={2},
  pages={1 - 21}
}
This paper explores the issue of constructing an economic predictive model of financial vulnerability through an alternative econometric methodology that addresses drawbacks in existing approaches. The methodology entails estimating a Markov regime switching model of exchange rate movements, with time-varying transition probabilities. Experiments with monthly and weekly models indicate that real exchange rate, foreign exchange reserves and domestic credit/deposit ratio are the most important… CONTINUE READING

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