Second Thoughts on Second Moments: Panel Evidence on Asset-Based Models of Speculative Attacks

28 Pages Posted: 11 Feb 1998

See all articles by Arturo Galindo

Arturo Galindo

Central Bank of Colombia

William F. Maloney

World Bank - Poverty and Economic Management Unit; IZA Institute of Labor Economics; World Bank - Development Research Group (DECRG)

Date Written: January 25, 1998

Abstract

The paper tests two popular asset based models of speculative attacks--Krugman and Rotemberg (1992) and Calvo and Mendoza (1995)--and in particular, their emphasis on the second moments of monetary aggregates. Analyzing monthly panels of appropriate countries in three regions, it finds evidence for the importance of money/reserve ratios predicted by both models, and their variance as predicted by C-M. The variance of velocity does not appear important, however, casting some doubt on the K-R target zone framework and the interpretation of the C-M results.

JEL Classification: F31, F32, F41

Suggested Citation

Galindo Andrade, Arturo and Maloney, William F., Second Thoughts on Second Moments: Panel Evidence on Asset-Based Models of Speculative Attacks (January 25, 1998). Available at SSRN: https://ssrn.com/abstract=58681 or http://dx.doi.org/10.2139/ssrn.58681

Arturo Galindo Andrade

Central Bank of Colombia ( email )

Carrera 7 #14-78
Cr 7 No.14-78 Piso 11
3551 de Bogotá
Colombia, South America
(571) 343 0521 (Phone)

William F. Maloney (Contact Author)

World Bank - Poverty and Economic Management Unit ( email )

1818 H Street NW
Washington, DC 20433
United States
202-473-6340 (Phone)
202-522-0054 (Fax)

IZA Institute of Labor Economics

P.O. Box 7240
Bonn, D-53072
Germany

World Bank - Development Research Group (DECRG)

1818 H. Street, N.W.
MSN3-311
Washington, DC 20433
United States

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