Using data from 17 countries that have suffered a currency crisis, this paper studies firm-level leverage and performance measures before and after a crisis has occurred. We show that in the years preceding a currency crisis, companies that are expected to benefit from currency depreciations...

Progress in financial integration calls for the abolition of capital controls, especially within the European community. Traditional analysis would then predict a better reallocation of productive capacity at the international level. A formal model is developed in order to show that it is...

Expected rates of depreciation within the target zone for the exchange rates of four Nordic countries during 1979–1989 are estimated. Combining these with expected rates of devaluation estimated by Edin and Vredin (1993) we obtain time-series of the overall expected exchange rate change....

Structural models of exchange rate determination rarely forecast the exchange rate more accurately than a naive random walk model. Recent innovations in exchange rate modeling indicate that changes in the exchange rate may follow a self-exciting threshold autoregressive model (SETAR). We...

Speculative attacks on fixed or ‘fixed but adjustable’ exchange rate regimes seem to have become a standard feature of the landscape of foreign exchange markets. The supposed excesses of seemingly untethered financial markets have been documented for some time, but only recently...

In this paper we propose a generalisation of the noise trader transmission mechanism to examine the impact of central bank intervention on exchange rates. Within a heterogeneous expectation exchange rate model intervention operations are supposed to provide support for chartist or fundamentalist...

We use Greek data during 1960–1994 to test and estimate a model in which wage inflation, price inflation and unemployment depend on the exchange rate regime, the identity of the political party in power and whether an election is expected to take place. We respect the Lucas critique and...

This article generalizes the results shown in De Grauwe, Dewachter, and Embrechts (1993) in a more sophisticated framework. In their model, the speculative dynamics resulting from the interaction between chartists and fundamentalists are incorporated into a Dornbusch-style model to generate a...

Real returns, excess returns, and nominal returns from stock markets in 11 developed countries are compared for the difference in their means and variances by using a new procedure to test their equality and to determine if one stock market dominates another. The sample period from January 1973...