Second moments in speculative attack models: panel evidence

• 成果类型: Article
• 署名作者: Galindo, AJ; Maloney, WF
• 署名单位: The World Bank; Inter-American Development Bank
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(01)00122-2
• 发表日期: 2002
• 页码: 97-129
• 关键词: speculative attacks; target zones; currency crises; GARCH; volatility

摘要

The paper tests two popular asset-based models of speculative attacks and in particular, their emphasis on the second moments of monetary aggregates. Analyzing monthly panels of appropriate countries in three regions, it finds evidence for the importance of money/reserve ratios predicted by both models, as well as the variance of the ratio of M2 to reserves. (C) 2002 Elsevier Science B.V. All rights reserved.