CEU Electronic Theses and Dissertations, 2007
| Author | Anastasiu, Silvia Elena |
|---|---|
| Title | IS THERE A ROLE FOR THE BALASSA-SAMUELSON EFFECT IN CURRENCY CRISES PREDICTION MODELS? |
| Summary | The present thesis addresses the economic subject of currency crises by developing an empirical model similar with the standard framework proposed by Bussiere(2002). It also assesses whether the Balassa-Samuelson effect is accounted for when measuring overvaluation, a fact that has been neglected by previous research. I find that the model is able to identify correctly 63% of the crises that took place in the analyzed time span, pointing to overvaluation of the currency and the CA/GDP as the main factors that influence the occurrence of a crisis.Moreover I find that the appreciation of the currency due to productivity gains is not accounted when measuring overvaluation, therefore potentially biasing this variable and decreasing the accurateness of the model. The current thesis pointed to an existing gap between currency crises prediction models and the BS effect and showed that these are not two different issues. On the contrary, relating them and considering productivity gains appreciations may in fact produce a better model in terms of prediction. |
| Supervisor | Chassamboulli Andri |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2007/c05ans01.pdf |
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