Modeling Country Risks: An Asian Perspective

This paper investigates the use of the Markov Regime Switching Model (MRSM) as a means to track changes in the levels of investor confidence. It also assesses the probabilities of a country switching between different regimes using the transition probability matrix. A maximum of three possible level...

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Main Authors: TAN, Swee Liang, TAN, G. K. Randolph
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2007
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Online Access:https://ink.library.smu.edu.sg/soe_research/1077
https://ink.library.smu.edu.sg/context/soe_research/article/2076/viewcontent/CountryRiskAnalysis_MarkovRegimeSwitchingModel.pdf
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spelling sg-smu-ink.soe_research-20762019-04-27T05:01:45Z Modeling Country Risks: An Asian Perspective TAN, Swee Liang TAN, G. K. Randolph This paper investigates the use of the Markov Regime Switching Model (MRSM) as a means to track changes in the levels of investor confidence. It also assesses the probabilities of a country switching between different regimes using the transition probability matrix. A maximum of three possible levels or regimes of risk – low, intermediate and high volatility regimes, is considered. From the smoothed probabilities calculated for different regimes, this paper makes inferences about timings of debt crisis. Comparing Brazil, Mexico, the Philippines and Indonesia in particular, we date the onset and subsequent dissolution of crisis-induced panic. We give interpretations of the results based on evidences of debt crisis. The objective is to investigate if there is information in the transition probability matrix and smoothed probabilities that country risk managers can use to make assessment on risk condition. 2007-09-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/1077 https://ink.library.smu.edu.sg/context/soe_research/article/2076/viewcontent/CountryRiskAnalysis_MarkovRegimeSwitchingModel.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Debt crisis Country risk assessment Markov regime switching model Asian Studies International Economics
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Debt crisis
Country risk assessment
Markov regime switching model
Asian Studies
International Economics
spellingShingle Debt crisis
Country risk assessment
Markov regime switching model
Asian Studies
International Economics
TAN, Swee Liang
TAN, G. K. Randolph
Modeling Country Risks: An Asian Perspective
description This paper investigates the use of the Markov Regime Switching Model (MRSM) as a means to track changes in the levels of investor confidence. It also assesses the probabilities of a country switching between different regimes using the transition probability matrix. A maximum of three possible levels or regimes of risk – low, intermediate and high volatility regimes, is considered. From the smoothed probabilities calculated for different regimes, this paper makes inferences about timings of debt crisis. Comparing Brazil, Mexico, the Philippines and Indonesia in particular, we date the onset and subsequent dissolution of crisis-induced panic. We give interpretations of the results based on evidences of debt crisis. The objective is to investigate if there is information in the transition probability matrix and smoothed probabilities that country risk managers can use to make assessment on risk condition.
format text
author TAN, Swee Liang
TAN, G. K. Randolph
author_facet TAN, Swee Liang
TAN, G. K. Randolph
author_sort TAN, Swee Liang
title Modeling Country Risks: An Asian Perspective
title_short Modeling Country Risks: An Asian Perspective
title_full Modeling Country Risks: An Asian Perspective
title_fullStr Modeling Country Risks: An Asian Perspective
title_full_unstemmed Modeling Country Risks: An Asian Perspective
title_sort modeling country risks: an asian perspective
publisher Institutional Knowledge at Singapore Management University
publishDate 2007
url https://ink.library.smu.edu.sg/soe_research/1077
https://ink.library.smu.edu.sg/context/soe_research/article/2076/viewcontent/CountryRiskAnalysis_MarkovRegimeSwitchingModel.pdf
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