Speculative Attacks in the Asian Crisis

21 Pages Posted: 6 Feb 2006

See all articles by Zhiwei Zhang

Zhiwei Zhang

International Monetary Fund (on leave); Nomura Holdings, Inc. (NHI) - Nomura Securities Co., Ltd.

Date Written: November 2001

Abstract

This paper takes the Asian crisis as an example to show that the Autoregressive Conditional Hazard (ACH) model is a powerful tool for studying the time series features of speculative attacks. The ACH model proposes a duration variable to capture the changes in the frequency of attacks, which might be an important factor influencing investors1 expectations. The empirical results show that the ACH model explains the crisis far better than the Probit model. The duration variable is highly significant while most fundamentals are not. The contagion effect is tested and accepted under the ACH specification.

Keywords: ACH, currency crisis, duration analysis

JEL Classification: C5, F3

Suggested Citation

Zhang, Zhiwei and Zhang, Zhiwei, Speculative Attacks in the Asian Crisis (November 2001). IMF Working Paper No. 01/189, Available at SSRN: https://ssrn.com/abstract=880290

Zhiwei Zhang (Contact Author)

Nomura Holdings, Inc. (NHI) - Nomura Securities Co., Ltd. ( email )

Hong Kong
Japan

International Monetary Fund (on leave) ( email )

700 19th Street N.W.
Washington, DC 20431
United States

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