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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Research Notes ; No. 01-1
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
International Investment; Long-term Capital Movements
Foreign Exchange
- Thema
-
Financial crises
risk model
panel data
emerging markets
Währungskrise
Wirtschaftsindikator
Wechselkursrisiko
Realzins
Schätzung
Theorie
Lateinamerika
Asien
Finanzmarktkrise
Logit-Modell
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Eliasson, Ann-Charlotte
Kreuter, Christof
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bank Research
- (wo)
-
Frankfurt a. M.
- (wann)
-
2001
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Eliasson, Ann-Charlotte
- Kreuter, Christof
- Deutsche Bank Research
Entstanden
- 2001
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