Predicting currency fluctuations and crises: do resident firms have an informational advantage?
Daniel Kaufmann, Gil Mehrez, Sergio L. Schmukler, World Bank Institute. Governance, Regulation, and Finance Division
World Bank, World Bank Institute, Governance, Regulation, and Finance, 1999 - Business & Economics - 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.
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Asian countries Asian crisis assume that managers asymmetric information available information available macro captured claims Coefficients z-statistic country fund currency forecasters data set December December December decrease Dependent Variable devaluation deviation of monthly domestic credit Dummy econometric Equity Price Fall exchange rate volatility expect the exchange exposure extract the managers extracted managers extracted private information Figure financial variables future volatility highest probability increase informational advantage Interest Rate Differential International Financial Statistics international investors Korea and Thailand macro data macro variables macroeconomic variables Malaysia managers choose managers have private market indicators market participants mutual funds November 1999 H Number of Observations OECD OLS Estimates ordered probit estimation Policy Research predict exchange rate present the results probit model rating agencies recent crises Research Working Paper resident Short Term Risk spot exchange rate Standard & Poor's standard deviation Statistically Significant suggests that managers t-statistics values Variables at t-1 World Bank World Economic Forum