Markov Switching VAR Model of Speculative Pressure: An Application to the Asian Financial Crisis

• Main Author: VARGAS, Gregorio III Alfredo
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2009
• Subjects: autoregressive modelling; economic impact; Markov-switching models; maximum likelihood; recessions; time-varying transition probabilities; Econometrics; Finance
• Online Access: https://ink.library.smu.edu.sg/etd_coll/27; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1026&context=etd_coll
• Institution: Singapore Management University

Markov switching models with time-varying transition probabilities address the limitations of the earlier methods in the early warning system literature on currency crises. Most of the Markov switching models in the literature are largely based on univariate models of exchange rate fluctuations. In...