Empirical Analysis of Speculative Attacks with Contractionary Real Effects
Ismael E. Arciniegas Rueda
Constellation New Energy
January 1, 2010
The effects of a currency crisis on a country’s economy depend on non-linear relations among several variables that characterize the economic, financial, legal, and socio-political structure of the country at the onset of the crisis. Those effects can be associated with contractions or expansions in output. However, contractionary speculative attacks are more frequent. This paper uses a parametric censored heteroscedastic TOBIT model to empirically analyze how different economic and financial variables determine real effects of contractionary speculative attacks. Variables describing the banking sector, the international trade, the severity of the crisis, and foreign interest rates are found to be significant in explaining the size of contractionary real effects. Our TOBIT’s results are compared with alternative modeling strategies.
Number of Pages in PDF File: 55
Keywords: currency crises, speculative attacks, censored models
JEL Classification: F31, C24working papers series
Date posted: January 3, 2010
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo4 in 0.313 seconds