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on International Finance |
| By: | Liesenfeld, Roman; Moura, Guilherme V; Richard, Jean-François |
| Abstract: | We use panel probit models with unobserved heterogeneity and serially correlated errors in order to analyze the determinants and the dynamics of current-account reversals for a panel of developing and emerging countries. The likelihood evaluation of these models requires high-dimensional integration for which we use a generic procedure known as Efficient Importance Sampling (EIS). Our empirical results suggest that current account balance, terms of trades, foreign reserves and concessional debt are important determinants of the probability of current-account reversal. Furthermore we find under all specifications evidence for serially correlated error components and weak evidence for state dependence. |
| Keywords: | Panel data, Dynamic discrete choice, Current account reversals, Importance Sampling, Monte Carlo integration, State dependence |
| JEL: | C15 C23 C25 F32 |
| Date: | 2007 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:cauewp:5584&r=ifn |
| By: | Tatsuyoshi Miyakoshi (Osaka School of International Public Policy (OSIPP), Osaka University); Yoshihiko Tsukuda (Graduate School of Economics, Tohoku University); Junji Shimada (School of Management, Aoyama Gakuin University) |
| Abstract: | 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 ( Indonesia, Korea and Philippine) remarkably improve market efficiency after the implementation of the program, implying positive assessment of the program in the before-after approach. Among the non-supported countries, China, Taiwan, and Malaysia do not improve efficiency after the breakout of the crisis, providing partially positive assessment in the with-without approach. The Thailand, Indonesia and Korean markets show the positive abnormal returns at the dates or at the next dates of programfs announcement, providing partially positive assessment of announcement effects in the event study approach. |
| Keywords: | IMF supported-programs; Asian crisis; structural reforms; assessment |
| JEL: | C40 F33 G14 G15 |
| Date: | 2007–06 |
| URL: | http://d.repec.org/n?u=RePEc:osk:wpaper:0724&r=ifn |