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https://ptsldigital.ukm.my/jspui/handle/123456789/640038| Title: | Onset of emerging market crises with Probit model |
| Authors: | Jiang, Depeng Rhee, Moon-Whoan |
| Conference Name: | The thirteenth Annual PACAP/FMA Finance Conference |
| Keywords: | Emerging Markets Probit Model Contagion Effects Volatility |
| Conference Date: | 2001-07-05 |
| Conference Location: | Westin Chosun Hotel, Seoul, Korea Radisson Plaza Hotel, Seoul, Korea |
| Abstract: | This paper examines the relative strength of factors in predicting the onset of a financial crisis in emerging markets during the 1990s. We estimate a probit model based on the quarterly data of 18 countries. The results suggest that mis-management in the economy and banking system, shifts in international conditions, and the depth of contagion effects are strongly associated with the likelihood of a crisis. A careful analysis of the probability distributions shows that our predictions are close to being correct in over 90% of the cases. |
| Pages: | 109 |
| Call Number: | HG4026.A536 2001 katsem |
| URI: | https://ptsldigital.ukm.my/jspui/handle/123456789/640038 |
| Appears in Collections: | Seminar Papers/ Proceedings / Kertas Kerja Seminar/ Prosiding |
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