Arbeitspapier
On crisis models: An alternative crisis definition
In this paper we question the consensus of using a binary crisis definition for empirical crisis models. We believe that the most severe shortcomings of the crisis models today are in the crisis definition rather than the explanatory variables. We present a crisis model that is specified for a continuous crisis definition especially designed to describe extreme exchange-rate and interest-rate events in emerging markets. The crisis variable successfully portrays the crises of the 1990s and the estimated models perform excellently in explaining these events.
- Language
-
Englisch
- Bibliographic citation
-
Series: Research Notes ; No. 01-1
- Classification
-
Wirtschaft
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
International Investment; Long-term Capital Movements
Foreign Exchange
- Subject
-
Financial crises
risk model
panel data
emerging markets
Währungskrise
Wirtschaftsindikator
Wechselkursrisiko
Realzins
Schätzung
Theorie
Lateinamerika
Asien
Finanzmarktkrise
Logit-Modell
- Event
-
Geistige Schöpfung
- (who)
-
Eliasson, Ann-Charlotte
Kreuter, Christof
- Event
-
Veröffentlichung
- (who)
-
Deutsche Bank Research
- (where)
-
Frankfurt a. M.
- (when)
-
2001
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Eliasson, Ann-Charlotte
- Kreuter, Christof
- Deutsche Bank Research
Time of origin
- 2001
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