haku: @author Jeanne, O. / yhteensä: 12
viite: 4 / 12
| Tekijä: | Jeanne, O. Masson, P. |
| Otsikko: | Currency crises, sunspots and Markov-switching regimes |
| Lehti: | Journal of International Economics
2000 : APR, VOL. 50:2, p. 327-350 |
| Asiasana: | INTERNATIONAL ECONOMICS CRISES |
| Kieli: | eng |
| Tiivistelmä: | This paper investigates the theoretical properties of a class of escape clause models of currency crises as well as their applicability to empirical work. The authors show that under some conditions these models give rise to an arbitrarily large number of equilibria, as well as cyclic or chaotic dynamics for the devaluation expectations. The authors then propose an econometric technique, based on the Markov-switching regimes framework, by which these models can be brought to the data. |
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