Currency crises, sunspots and Markov-switching regimes

Journal of International Economics

Volumn 50, Issue 2, 2000, Pages 327-350

  Jeanne, Olivier ^a   Masson, Paul ^a  

^a INTERNATIONAL MONETARY FUND   (United States)

Author keywords

Currency crises; European Monetary System; French franc; Markov switching regimes; Self fulfilling speculation; Sunspots

Indexed keywords

CURRENCY DEVALUATION; CURRENCY MARKET; ECONOMIC THEORY;

EID: 0034002908     PISSN: 00221996     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0022-1996(99)00007-0     Document Type: Article

References (32)

1. Buiter, W., Corsetti, G., Pesenti, P., 1998. Interpreting the ERM crisis: Country specific and systemic issues, Princeton Studies in International Finance 84.
2. Cole H., Kehoe T. A self-fulfilling model of Mexico's 1994-1995 debt crisis. Journal of International Economics. 41:1995;309-330.
3. De Grauwe P., Dewachter H., Embrechts M. Exchange Rate Theory: Chaotic Models of Foreign Exchange Markets. 1993;Blackwell, Cambridge, MA.
4. Eichengreen, B., Jeanne, O., 1998. Currency crisis and unemployment: Sterling in 1931, NBER Working Paper No. 6563.
5. Eichengreen B., Wyplosz C. The unstable EMS. Brookings Papers on Economic Activity. 1:1993;51-124.
6. Flood, R., Marion, N., 1998, Perspectives on the currency crises literature, NBER Working Paper No. 6380.
7. Giavazzi F., Giovannini A. Managing Exchange Rate Flexibility: The European Monetary System. 1989;MIT Press, Cambridge, MA.
8. Hamilton J.D. Time Series Analysis. 1994;Princeton University Press, Princeton.
9. Hamilton J.D. Rational-expectations econometric analysis of changes in regime: An investigation of the term structure of interest rates. Journal of Economic Dynamics and Control. 12:1988;385-423.
10. Hamilton J.D. A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica. 57:1989;357-384.
11. Hansen B.E. Inference when a nuisance parameter is not identified under the null hypothesis. Econometrica. 64:1996;413-430.
12. Isard P. Exchange Rate Economics. 1995;Cambridge University Press, Cambridge, UK.
13. Jeanne O. Are currency crises self-fulfilling? A test. Journal of International Economics. 43:1997;263-286.
14. Jeanne, O., in press. Currency crises: A perspective on recent theoretical developments, Princeton Studies in International Finance.
15. Kaminsky G., Peruga R. Can a time-varying risk premium explain excess returns in the forward market for foreign exchange? Journal of International Economics. 28:1990;47-70.
16. Kehoe T. Comment on Krugman, Are currency crises self-fulfilling? NBER Macroeconomics Annual. 1996;MIT Press, Cambridge, MA.
17. Krugman P. Are currency crises self-fulfilling? NBER Macroeconomics Annual. 1996;MIT Press, Cambridge, MA.
18. Martinez-Peria, M.S., 1998. A regime switching approach to the study of speculative attacks: A focus on EMS crises, Mimeo, Department of Economics, UC Berkeley.
19. Masson P.R. Gaining and losing ERM credibility: The case of the United Kingdom. Economic Journal. 105:1995;571-582.
20. Morris S., Shin H.S. Unique equilibrium in a model of self-fulfilling currency attacks. American Economic Review. 88:1998;587-597.
21. Obstfeld M. The logic of currency crises. Cahiers économiques et monétaires. 43:1994;189-214.
22. Obstfeld M. Models of currency crises with self-fulfilling features. European Economic Review. 40:1996;1037-1047.
23. Obstfeld M. Comment on Krugman, Are currency crises self-fulfilling? NBER Macroeconomics Annual. 1996;MIT Press, Cambridge, MA.
24. Obstfeld M., Rogoff K. The mirage of fixed exchange rates. Journal of Economic Perspectives. 9:1995;73-96.
25. Piard, S., 1997. Currency crises on the ERM: The experience of the French franc, Mimeo, London Guildhall University.
26. Psaradakis, Z., Sola, M., Tronzano, M., 1998. Target zone credibility and economic fundamentals, Mimeo, Birbeck College.
27. Rose A., Svensson L. European exchange rate credibility before the fall. European Economic Review. 38:1994;1185-1216.
28. Sachs, J., Radelet, S., 1998. The onset of the East Asian financial crisis, Mimeo, Harvard Institute for International Development.
29. Svensson L. Assessing target zone credibility: Mean reversion and devaluation expectations in the ERM, 1979-92. European Economic Review. 37:1993;763-802.
30. Van Norden, S., Vigfusson, R., 1996. Regime-switching models: A guide to the Bank of Canada Gauss procedures, Working Paper 96-3, Bank of Canada, Ottawa.
31. Van Norden S. Regime switching as a test for exchange rate bubbles. Journal of Applied Econometrics. 11:1996;219-251.
32. Velasco A. Fixed exchange rates: Credibility, flexibility and multiplicity. European Economic Review. 40:1996;1023-1035.