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Estimation of speculative attack models: Mexico yet again

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  • William R. Melick

    (Kenyon College)

Abstract

An amalgamation of standard speculative attack models is applied to Mexican exchange rate regimes over the past twenty years. The paper develops the first simultaneous (non-iterative) estimator for speculative attack models. Particular attention is paid to the December 1994 devaluation of the peso. Estimation results for the recent devaluation are a disappointment, less so for earlier periods when the assumptions of the model are more appropriate.

Suggested Citation

  • William R. Melick, 1996. "Estimation of speculative attack models: Mexico yet again," BIS Working Papers 36, Bank for International Settlements.
    • Handle: RePEc:bis:biswps:36
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    References listed on IDEAS

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    1. Goldberg, Linda S., 1991. "Collapsing exchange rate regimes: shocks and biases," Journal of International Money and Finance, Elsevier, vol. 10(2), pages 252-263, June.
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    5. Pierre-Richard Agénor & Jagdeep S. Bhandari & Robert P. Flood, 1992. "Speculative Attacks and Models of Balance of Payments Crises," IMF Staff Papers, Palgrave Macmillan, vol. 39(2), pages 357-394, June.
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    Cited by:

    1. Mark Kruger & Patrick N. Osakwe & Jennifer Page, 2000. "Fundamentals, Contagion and Currency Crises: An Empirical Analysis," Development Policy Review, Overseas Development Institute, vol. 18(3), pages 257-274, September.

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