EconStor >
Deutsches Institut für Wirtschaftsforschung (DIW), Berlin >
DIW-Diskussionspapiere >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/18084
  
Title:The Argentinean Currency Crisis: A Markov-Switching Model Estimation PDF Logo
Authors:Alvarez-Plata, Patricia
Schrooten, Mechthild
Issue Date:2003
Series/Report no.:DIW-Diskussionspapiere 348
Abstract:Despite the fact that Argentina has been suffering from a recession for years, the timing and severity of the recent currency crisis surprised most observers. This paper analyzes the role of fundamentals and self-fulfilling speculation in the Argentinean crisis. Arguing within a theoretical model of a fixed exchange rate system that allows for multiple equilibria, we show that the crisis, while being associated with weak and deteriorating fundamentals, cannot be explained by these macroeconomic factors alone. Estimating a univariate Markovswitching model, this paper shows that shifts in agents? beliefs did indeed also play a crucial role.
Subjects:Currency crises
Self-fulfilling speculation
Markov-switching models
JEL:F36
F31
C22
Document Type:Working Paper
Appears in Collections:Publikationen von Forscherinnen und Forschern des DIW
DIW-Diskussionspapiere

Files in This Item:
File Description SizeFormat
dp348.pdf247.48 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/18084

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.