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An Empirical Characterisation of Speculative Pressure: A Comprehensive Panel Study Using LDV Models in High Frequency

Author

Listed:
  • Anastasatos, Tassos G.

    (Loughborough University, Leicestershire)

  • Davidson, Ian R.

    (Business School Loughborough University)

Abstract

This article provides a general and robust empirical examination of speculative pressure on various exchange rate regimes using an unusually large panel of monthly data for developed countries, analysed within the framework of Limited- Dependent Variable (LDV) models with various innovations and extensions. In comparison to studies with lower frequency data, significant differences are found in linking crises with macroeconomic, financial and political fundamentals, despite the noise increasing tendency of higher frequency data. Considerable heterogeneity in the events surrounding crises is documented, rendering globally applicable rules for prediction and prevention inappropriate. The findings are robust to different specifications but the definition of a crisis has a bearing on its predictability.

Suggested Citation

  • Anastasatos, Tassos G. & Davidson, Ian R., 2006. "An Empirical Characterisation of Speculative Pressure: A Comprehensive Panel Study Using LDV Models in High Frequency," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 21, pages 619-656.
    • Handle: RePEc:ris:integr:0372
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    Citations

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    Cited by:

    1. Tassos Anastasatos & Constantina Manou, 2008. "Speculative Attacks on the Drachma and the Changeover to the Euro," Economic Bulletin, Bank of Greece, issue 31, pages 49-77, November.

    More about this item

    Keywords

    Currency crises; Speculative pressure; Exchange rate; Devaluation; Limited-dependent variable models;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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