During the Asian crisis, some crisis-hit economies raised domestic interest rates persistently in an effort to appreciate their currencies. Although Asian currencies eventually stabilized, it is still debated whether high interest rates contributed to the restoration of stability. Correlation...

This paper investigates the importance of external factors in the domestic interest rate determination of Malaysia and measures the Malaysian financial market openness and domestic speed of adjustment to changes in foreign factors by capturing the effects of the Asian Financial Crisis in 1997....

In this paper, we propose an unified econometric strategy to revisit the predictive contentof interest rates for exchange rate returns. The novelty of our approach is to take into account dependencies of higher orders by allowing for a time-varying asymmetry componentin the distribution of...

This paper investigates the importance of external factors in the domestic interest rate determination and measures the Malaysian financial market openness and domestic speed of adjustment to changes in foreign factors by capturing the effects of the Asian financial crisis in 1997. To achieve...

We develop a stylized currency crises model with heterogeneous information among investors and endogenous determination of interest rates in a noisy rational expectations equilibrium. Our model captures three key features of interest rates: the opportunity cost of attacking the currency responds...