The Nonlinear Dynamics of Foreign Reserves and Currency Crises

Chong, Terence Tai Leung; He, Qing; Hinich, Melvin J.

doi:10.2202/1558-3708.1605

Cited by 6 publications

(6 citation statements)

References 29 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Cheng et al [18] examined the evidence on the conditional convergence growth theory, which extended dynamic panel data growth model to control both threshold effects and cross-section dependence. Chong et al [19] studied the relationship between the depletion rate of foreign reserves and currency crises using threshold autoregressive model. Ho [20] applied a dynamic panel threshold model to examine whether the low-income countries catch up with the rich ones.…”

Section: Introductionmentioning

confidence: 99%

Estimation of Nonlinear Dynamic Panel Data Models with Individual Effects

Guo

Deng

et al. 2014

Mathematical Problems in Engineering

View full text Add to dashboard Cite

This paper suggests a generalized method of moments (GMM) based estimation for dynamic panel data models with individual specific fixed effects and threshold effects simultaneously. We extend Hansen’s (Hansen, 1999) original setup to models including endogenous regressors, specifically, lagged dependent variables. To address the problem of endogeneity of these nonlinear dynamic panel data models, we prove that the orthogonality conditions proposed by Arellano and Bond (1991) are valid. The threshold and slope parameters are estimated by GMM, and asymptotic distribution of the slope parameters is derived. Finite sample performance of the estimation is investigated through Monte Carlo simulations. It shows that the threshold and slope parameter can be estimated accurately and also the finite sample distribution of slope parameters is well approximated by the asymptotic distribution.

show abstract

Section: Introductionmentioning

confidence: 99%

Estimation of Nonlinear Dynamic Panel Data Models with Individual Effects

Guo

Deng

et al. 2014

Mathematical Problems in Engineering

View full text Add to dashboard Cite

show abstract

“…The conclusion is in line with the monetary authority's action to deploy external reserves to maintain the country's exchange rate stability. Chong et al (2008) examined the relationship between the dynamics of foreign reserves and currency crises. They found that depletion of foreign reserves rapidly leads to the collapse of the exchange rates systems.…”

Section: ) External Reserves Thresholdmentioning

confidence: 99%

Threshold Effect of Macroeconomic Convergence Criteria on Real GDP Growth Rate within the East African Community

2022

View full text Add to dashboard Cite

This study investigates how the thresholds set by the East African Monetary Committee (EAMC) have impacted the growth of the East African Countries (Kenya, Tanzania, Uganda, Rwanda, and Burundi). The analysis establishes the actual thresholds supported by a panel data model, running from 2005 to 2020, which are drawn from World Development Indicators data from the World Bank website. The actual thresholds obtained are compared to the thresholds adopted by EAMC. This data was analysed using a Dynamic Threshold Panel model; the results show a slight deviation of the actual (optimal) data thresholds from the thresholds adopted as the EAC criteria for the formation of a Monetary Union. Therefore, there is need to reconsider the thresholds criteria to enable them to become feasible for the member states to achieve so as to form the Monetary Union.

show abstract

“…Abiad 38 in his study developed early warning system that identifies crisis periods endogenously. Chong and his colleagues 39 developed early warning system for international currency crisis with the main goal to investigate the possible connection between the dynamics of foreign reserves and currency crises. Model they made enable provide indicators which imply that some actions have to be done to avoid the crisis.…”

Section: Early Warning Systems According To Type Of Crisismentioning

confidence: 99%

Early warning system in business, finance, and economics

Klopotan

Zoroja

Meško

2018

International Journal of Engineering Business Management

View full text Add to dashboard Cite

Different economic crises such as banking, financial, and currency lead to high economic costs and have negative impact to whole society. Development of early warning systems could help in prevention of economic and business crisis, while they present a systematic forecast of unwanted events. Early warning systems are used primary for detecting crises before damage has been made and for reducing false alarms of possible crisis. The aim of our article is to provide bibliometric analysis of early warning system, their development and usage in different environment especially in economic and finance sector. It investigates the role of early warning systems for prediction and recognition of negative events, especially in the area of business, finances, and economy. Moreover, this article contributes to the existing literature by providing systematic analysis of development and usage of early warning systems to predict critical and problematic events for economic and social development.

show abstract

The Nonlinear Dynamics of Foreign Reserves and Currency Crises

Cited by 6 publications

References 29 publications

Estimation of Nonlinear Dynamic Panel Data Models with Individual Effects

Estimation of Nonlinear Dynamic Panel Data Models with Individual Effects

Threshold Effect of Macroeconomic Convergence Criteria on Real GDP Growth Rate within the East African Community

Early warning system in business, finance, and economics

Contact Info

Product

Resources

About