Using surveys of foreign exchange expectations, we document the emergence of a large gap between the beliefs of foreign banks and local-based institutions ahead of Brazil's 2002 presidential elections. That period was marked by a sudden stop in foreign capital flows and steep depreciation of...

In this paper we investigate whether cross-sectional information from local equity markets contained information on devaluation expectations during the Asian crisis. We concentrate on the information content of equity prices as these markets were in general the largest and most liquid at the...

The main objective of this paper is to investigate the diversification role of currency momentum for carry trade crashes during the turbulent periods surrounding the 1997-1998 Asian financial crisis and the 2007-2008 global financial crisis. The motivation is to use an important tendency of...

This paper proposes an original three-part sequential testing procedure (STP), with which to test for contagion using a multivariate model. First, it identifies structural breaks in the volatility of a given set of countries. Then a structural break test is applied to the correlation matrix to...

This paper examines the relationship between financial liberalisation and stock market volatility in Indonesia. By looking at the time series properties of the Jakarta Composite Index (JCI) we identify breaks in stock market volatility which coincide with the timing of major policy events. Our...

We assess the IMF supported program on the structural reforms after the Asian crisis in 1997 in terms of the before-after, with-without and event study approaches with applying a time varying parameter model to the nine Asian stock markets. All the supported countries except for Thailand (...

Using a model of co-movement between East Asian stockmarkets, we show that the determinants of the Thai share price index changed following an article in The Economist, 24 August 1996. In the absence of other 'news', it may be more realistic to interpret this as a case of self-fulfilling...

While virtually all modern models of exchange rate crises recognise that the decision to abandon an exchange rate peg depends on how harshly policy makers are willing to defend the regime, they virtually never model how the exchange rate is defended. In this paper we incorporate both the...

In response to questions about the relative importance of different types of capital flow for international competitiveness, we develop a structural vector auto-regressive model of the real exchange rate and international capital flows. We reveal that innovations to speculative sentiment cause...

While virtually all modern models of exchange rate crises recognise that the decision to abandon an exchange rate peg depends on how harshly policy makers are willing to defend the regime, they virtually never model how the exchange rate is defended. In this paper we incorporate both the...