Predicting Currency Fluctuations and Crises: Do Resident Firms Have an Informational Advantage?
World Bank, World Bank Institute, Governance, Regulation, and Finance, 1999 - Balance Of Payments Crises - 34 pages
"Markets have had limited success predicting crises and might do better by drawing on private information available to resident enterprise managers, who seem to know better than markets about future movements in exchange rates"--Cover.
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1-percent level Table Asian countries Asian crisis assume that managers asymmetric information available information available macro captured claims Coefficients Coefficients Coefficients currency forecasters data set December December December decrease Dependent Variable devaluation deviation of monthly domestic credit Dummy econometric Equity Price Fall exchange rate fluctuations exchange rate volatility expect the exchange exposure extract the managers extracted managers extracted private information future volatility highest probability increase Indonesia Korea Malaysia informational advantage Interest Rate Differential International Financial Statistics Korea and Thailand Korea Malaysia Thailand macro data macro variables macroeconomic variables Malaysian Ringgit managers have private market indicators market participants mutual funds November 1999 November Number of Observations OECD OLS Estimates ordered probit estimation predict exchange rate present the results probit model recent crises resident Short Term Risk spot exchange rate Standard & Poor's standard deviation Statistically Significant suggests that managers t-statistics Thai baht Tºo Tºo Tºo World Bank